A Maximum Principle for Stochastic Control with Partial Information
By F. Baghéry, Bernt Øksendal. 2007
83 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/f3057df08c97b1393c182ba90470ae732d1ffce3
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Citations in the corpus
- Maximum Principle for Partially-Observed Optimal Control of Fully-Coupled Forward-Backward Stochastic Systems (2010, background): “See Baghery and Oksendal [ 21 ], Meyer-Brandis et al. [22], Oksendal and Sulem [23], Meng [24], etc.”
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information (2009, methodology): “To this end, we adopt a similar strategy as in [ 8 ], where a partial information necessary maximum principle for the forward stochastic systems driven by Brownian motion and compensated Poisson random measure was studied.”
- Maximum Principle for Stochastic Differential Games with Partial Information (2008, unknown): “[1], [2], [5], [9] and the references therein.”