Optimality conditions for partial information stochastic control problems driven by Lévy processes

Khaled Bahlali; Nabil Khelfallah; Brahim Mezerdi

doi:10.1016/j.sysconle.2012.08.005

Optimality conditions for partial information stochastic control problems driven by Lévy processes

Systems & Control Letters ◽

10.1016/j.sysconle.2012.08.005 ◽

2012 ◽

Vol 61 (11) ◽

pp. 1079-1084 ◽

Cited By ~ 3

Author(s):

Khaled Bahlali ◽

Nabil Khelfallah ◽

Brahim Mezerdi

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Lévy Processes ◽

Partial Information ◽

Levy Processes ◽

Control Problems ◽

Stochastic Control Problems

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Optimality conditions in variational form for non-linear constrained stochastic control problems

Mathematical Control & Related Fields ◽

10.3934/mcrf.2020008 ◽

2020 ◽

Vol 10 (3) ◽

pp. 493-526

Author(s):

Laurent Pfeiffer ◽

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Non Linear ◽

Variational Form

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Examples of optimal control for nonlinear stochastic control problems with partial information

Proceedings of 1995 34th IEEE Conference on Decision and Control ◽

10.1109/cdc.1995.480527 ◽

2002 ◽

Cited By ~ 1

Author(s):

C.D. Charalambous ◽

R.J. Elliott

Keyword(s):

Optimal Control ◽

Stochastic Control ◽

Partial Information ◽

Control Problems ◽

Stochastic Control Problems

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Existence results for stochastic control problems with partial information

Stochastic Control of Partially Observable Systems ◽

10.1017/cbo9780511526503.010 ◽

1992 ◽

pp. 326-339

Keyword(s):

Stochastic Control ◽

Partial Information ◽

Existence Results ◽

Control Problems ◽

Stochastic Control Problems

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Existence and optimality conditions for relaxed mean-field stochastic control problems

Systems & Control Letters ◽

10.1016/j.sysconle.2016.12.009 ◽

2017 ◽

Vol 102 ◽

pp. 1-8 ◽

Cited By ~ 2

Author(s):

Khaled Bahlali ◽

Meriem Mezerdi ◽

Brahim Mezerdi

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Mean Field ◽

Control Problems ◽

Stochastic Control Problems

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A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications

SIAM Journal on Control and Optimization ◽

10.1137/080738465 ◽

2009 ◽

Vol 48 (4) ◽

pp. 2106-2117 ◽

Cited By ~ 43

Author(s):

Jianhui Huang ◽

Guangchen Wang ◽

Jie Xiong

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Partial Information ◽

Control Problems ◽

Stochastic Control Problems

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A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

Applied Mathematics & Optimization ◽

10.1007/s00245-011-9143-z ◽

2011 ◽

Vol 65 (1) ◽

pp. 15-29 ◽

Cited By ~ 6

Author(s):

Seid Bahlali ◽

Adel Chala

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Control Problems ◽

Jump Diffusions ◽

Stochastic Control Problems

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Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

SIAM Journal on Control and Optimization ◽

10.1137/100793931 ◽

2012 ◽

Vol 50 (4) ◽

pp. 2254-2287 ◽

Cited By ~ 17

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Lévy Processes ◽

Partial Information ◽

Levy Processes ◽

Singular Stochastic Control

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Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Cited By ~ 4

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes

Journal of Systems Science and Complexity ◽

10.1007/s11424-021-0077-5 ◽

2021 ◽

Author(s):

Zhen Huang ◽

Ying Wang ◽

Xiangrong Wang

Keyword(s):

Optimal Control ◽

Control Systems ◽

Stochastic Control ◽

Lévy Processes ◽

Mean Field ◽

Levy Processes ◽

Fully Coupled

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On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

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