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Stochastic maximum principle for mean-field type optimal control under partial information

Release time:2019-10-24|Hits:

Affiliation of Author(s):控制科学与工程学院

Journal:IEEE Transactions on Automatic Control

All the Authors:wangguangchen,zhangchenghui

First Author:wangguangchen

Document Code:lw-149193

Volume:59

Issue:2

Page Number:522

Number of Words:8

Translation or Not:no

Date of Publication:2014-02-01

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A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information
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Mean-variance hedging and forward-backward stochastic filtering equations

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