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

Jianhui Huang; Guangchen Wang; Jie Xiong

doi:10.1137/080738465

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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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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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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The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps

SIAM Journal on Control and Optimization ◽

10.1137/19m1292308 ◽

2020 ◽

Vol 58 (4) ◽

pp. 2171-2187

Author(s):

Yuanzhuo Song ◽

Shanjian Tang ◽

Zhen Wu

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Optimal Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle ◽

Random Jumps

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A FORWARD-BACKWARD ALGORITHM FOR STOCHASTIC CONTROL PROBLEMS - Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming

Proceedings of the 1st International Conference on Operations Research and Enterprise Systems ◽

10.5220/0003885900830089 ◽

2012 ◽

Keyword(s):

Dynamic Programming ◽

Maximum Principle ◽

Stochastic Control ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Stochastic Control Problems

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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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Maximum Principle for Singular Stochastic Control Problems

SIAM Journal on Control and Optimization ◽

10.1137/040612403 ◽

2006 ◽

Vol 45 (2) ◽

pp. 668-698 ◽

Cited By ~ 23

Author(s):

F. Dufour ◽

B. Miller

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Degenerate Stochastic Control Problems with ExponentialCosts and Weakly Coupled Dynamics: Viscosity Solutions and a Maximum Principle

SIAM Journal on Control and Optimization ◽

10.1137/s0363012902417644 ◽

2005 ◽

Vol 44 (1) ◽

pp. 367-387 ◽

Cited By ~ 3

Author(s):

Minyi Huang ◽

Peter E. Caines ◽

Roland P. Malhamé

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Viscosity Solutions ◽

Control Problems ◽

Coupled Dynamics ◽

Stochastic Control Problems ◽

Weakly Coupled

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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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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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