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Maximum principles for forward-backward stochastic control systems with correlated state and observation noises

Release time:2019-04-13|Hits:

Affiliation of Author(s):控制科学与工程学院

Journal:SIAM Journal on Control and Optimization

All the Authors:Wu Zhen

First Author:wangguangchen

Indexed by:Unit Twenty Basic Research

Document Code:lw-139243

Volume:51

Issue:1

Page Number:491

Translation or Not:no

Date of Publication:2013-02-12

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Stochastic maximum principle for mean-field type optimal control under partial information
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Mean-variance hedging and forward-backward stochastic filtering equations

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