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An Introduction to Optimal Control of FBSDE with Incomplete Information
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An Introduction to Optimal Control of FBSDE with Incomplete Information (2018)An Introduction to Optimal Control of FBS…A maximum principle for mean-field stochastic control system with noisy observation (2022)A maximum principle for mean-…Linear–quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information (2020)Linear–quadratic optimal cont…An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems (2020)An Efficient Numerical Algori…Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching (2018)Stochastic maximum principle …The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations (1998)Mean-field backward stochastic differential equations and related partial differential equations (2009)The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information (2009)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model (2021)The Malliavin Calculus and Related Topics (1995)Backward Stochastic Differential Equations in Finance (1997)Statistics of Random Processes (2001)Brownian motion and stochastic calculus (1991)Mean field games (2007)Linear quadratic leader–follower stochastic differential games for mean-field switching diffusions (2023)
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  • 2022A maximum principle for mean-field stochastic control system with noisy observation40 cited
  • 2020Linear–quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information37 cited
  • 2020An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems30 cited
  • 2018Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching24 cited

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