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On stochastic relaxed control for partially observed diffusions
1 references·4 citing·17 second hop
On stochastic relaxed control for partially observed diffusions (1984)On stochastic relaxed control for partial…Optimal Control for Partially Observed Diffusions (1982)Optimal Control for Partially…Extended mean field control problem: a propagation of chaos result (2022)Extended mean field control p…Learning Equilibrium Mean-Variance Strategy (2020)Learning Equilibrium Mean-Var…Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation (1989)Viscosity solutions of fully …Existence of an Optimal Markovian Filter for the Control under Partial Observations (1988)Existence of an Optimal Marko…Controlled Diffusion Processes (1980)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic partial differential equations and filtering of diffusion processes (1980)Approximation and optimality necessary conditions in relaxed stochastic control problems (2006)Nonlinear Filtering for Jump Diffusion Observations (2012)Randomized and backward SDE representation for optimal control of non-Markovian SDEs (2015)Stochastic Differential Equations (1972)Stochastic Analysis, Control, Optimization and Applications (1999)Stochastic Control by Functional Analysis Methods (1982)Second-Order Hamilton–Jacobi Equations in Infinite Dimensions (1991)Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (2015)Viscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls (2020)Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)On the McKean‐Vlasov Limit for Interacting Diffusions (1988)PORTFOLIO SELECTION* (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)
this work references cited by second hop

References

  • 1982Optimal Control for Partially Observed Diffusions174 cited

Cited by

  • 1989Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation67 cited
  • 1988Existence of an Optimal Markovian Filter for the Control under Partial Observations58 cited
  • 2020Learning Equilibrium Mean-Variance Strategy41 cited
  • 2022Extended mean field control problem: a propagation of chaos result31 cited

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