A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
type: Item
instance of: scholarly article
title: A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
zbMATH Open document ID: 1176.93083
published in: Science in China. Series A
publication date: 2009-12-07T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 49K10
zbMATH DE Number: 5643460
zbMATH Keywords: maximum principle
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: partial information
author: Qingxin Meng
MaRDI profile type: Publication
full work available at URL: s11425-009-0114-7
OpenAlex ID: W2040477284
cites work: Q4255599
cites work: A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
cites work: The Mean-Variance Hedging of a Defaultable Option with Partial Information
cites work: Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
cites work: The variational principle for optimal control of diffusions with partial information
cites work: The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
cites work: A Maximum Principle for Stochastic Control with Partial Information
cites work: Backward-forward stochastic differential equations
cites work: Backward Stochastic Differential Equations in Finance
cites work: Q4266941
cites work: Stochastic maximum principle for optimal control problem of forward and backward system
cites work: Solution of forward-backward stochastic differential equations
cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme
cites work: Forward-backward stochastic differential equations and their applications
cites work: Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
DOI: 10.1007/S11425-009-0114-7
description: scientific article; zbMATH DE number 5643460