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Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
16 references·1 citing·40 second hopsampled
Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type (2016)Maximum principle for partially observed …A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control (2014)A Stochastic Maximum Principl…Risk-Sensitive Mean-Field Games (2013)Risk-Sensitive Mean-Field Gam…Stochastic maximum principle in the mean-field controls (2011)Stochastic maximum principle …A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)A General Stochastic Maximum …Maximum Principle for Partially-Observed Optimal Control of Fully-Coupled Forward-Backward Stochastic Systems (2010)Maximum Principle for Partial…A maximum principle for partially observed optimal control of forward-backward stochastic control systems (2010)A maximum principle for parti…The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information (2009)The Maximum Principles for St…Mean-field backward stochastic differential equations: A limit approach (2009)Mean-field backward stochasti…General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance (2009)General Maximum Principles fo…A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications (2009)A Maximum Principle for Parti…A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information (2009)A maximum principle for optim…Risk sensitive stochastic control and differential games (2006)Risk sensitive stochastic con…A new risk-sensitive maximum principle (2005)A new risk-sensitive maximum …Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions (1996)Minimum principle for partial…General necessary conditions for partially observed optimal stochastic controls (1995)General necessary conditions …A risk-sensitive maximum principle (1990)A risk-sensitive maximum prin…Optimal Control Problem for Risk‐Sensitive Mean‐Field Stochastic Delay Differential Equation with Partial Information (2017)Optimal Control Problem for R…Adapted solution of a backward stochastic differential equation (1990)Continuous Martingales and Brownian Motion (1999)Mean field games (2007)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)A probabilistic weak formulation of mean field games and applications (2015)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Dynamic Noncooperative Game Theory (1982)Stochastic Differential Equations (2003)Linear Quadratic Risk-Sensitive and Robust Mean Field Games (2016)Mean Field Games (2017)Linear quadratic mean field Stackelberg differential games (2018)Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Leader–follower stochastic differential game with asymmetric information and applications (2015)An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game (2018)Backward Stochastic Differential Equations in Finance (1997)Stochastic controls : Hamiltonian systems and HJB equations (1999)A partial information non-zero sum differential game of backward stochastic differential equations with applications (2011)Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (2013)A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information (2015)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)Brownian Motion and Stochastic Calculus (1988)Stochastic Flows and Stochastic Differential Equations (1998)Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems With Different Information Structures-Part I: A General Theory (2016)Mean-field backward stochastic differential equations and related partial differential equations (2009)A Maximum Principle for SDEs of Mean-Field Type (2010)An optimal control problem for mean-field forward–backward stochastic differential equation with noisy observation (2017)Mean-Field-Type Games in Engineering (2017)Linear–Quadratic Mean-Field-Type Games: A Direct Method (2018)Optimal execution of portfolio transactions (2001)Controlled Diffusion Processes (1980)Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls (2010)Risk-sensitive mean-field-type games with Lp -norm drifts (2015)Risk-Sensitive Zero-Sum Differential Games (2018)The Malliavin Calculus and Related Topics (2006)Mean-field stochastic differential equations and associated PDEs (2017)
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References

  • 2009Mean-field backward stochastic differential equations: A limit approach324 cited
  • 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type281 cited
  • 2013Risk-Sensitive Mean-Field Games179 cited
  • 2011Stochastic maximum principle in the mean-field controls149 cited
  • 2009The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information129 cited
  • 1990A risk-sensitive maximum principle112 cited
  • 2014A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control103 cited
  • 2009A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications103 cited
  • 1996Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions67 cited
  • 2005A new risk-sensitive maximum principle66 cited
  • 2010A maximum principle for partially observed optimal control of forward-backward stochastic control systems65 cited
  • 1995General necessary conditions for partially observed optimal stochastic controls58 cited
  • 2010Maximum Principle for Partially-Observed Optimal Control of Fully-Coupled Forward-Backward Stochastic Systems53 cited
  • 2009A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information

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46 cited
  • 2009General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance38 cited
  • 2006Risk sensitive stochastic control and differential games37 cited
  • Cited by

    • 2017Optimal Control Problem for Risk‐Sensitive Mean‐Field Stochastic Delay Differential Equation with Partial Information21 cited