A journal of IEEE and CAA , publishes
high-quality papers in English on original
theoretical/experimental research
and development in all areas of automation
IEEE/CAA Journal of Automatica Sinica
| Citation: | S. Wu, “Partially-observed maximum principle for backward stochastic differential delay equations,” IEEE/CAA J. Autom. Sinica, vol. 11, no. 6, pp. 1–3, Jun. 2024.
|
| [1] |
J. M. Bismut, “An introductory approach to duality in optimal stochastic control,” SIAM Review, vol. 20, no. 1, pp. 62–78, 1978. doi: 10.1137/1020004
|
| [2] |
E. Pardoux and S. Peng, “Adapted solutions of backward stochastic differential equations,” System &Control Letters, vol. 14, no. 1, pp. 55–61, 1990.
|
| [3] |
N. El Karoui, S. Peng, and M. C. Quenez, “Backward stochastic differential equations in finance,” Math. finance, vol. 7, no. 1, pp. 1–71, 1997. doi: 10.1111/1467-9965.00022
|
| [4] |
A. Lim and X. Zhou, “Linear-quadratic control of backward stochastic differential equations,” SIAM J. Control Optim., vol. 40, no. 2, pp. 450–474, 2001. doi: 10.1137/S0363012900374737
|
| [5] |
G. Wang and Z. Yu, “A partial information non-zero sum differential game of backward stochastic differential equations with applications,” Automatica, vol. 48, no. 2, pp. 342–352, 2012. doi: 10.1016/j.automatica.2011.11.010
|
| [6] |
L. Delong and P. Imkeller, “Backward stochastic differential equations with time delayed generators-results and counter examples,” Ann. Appl. Probab., vol. 20, no. 4, pp. 1512–1536, 2010.
|
| [7] |
L. Delong, “Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance,” Appl. Math. (Warsaw), vol. 39, no. 4, pp. 463–488, 2012. doi: 10.4064/am39-4-5
|
| [8] |
L. Chen and J. Huang, “Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation,” J. Optim. Theory Appl., vol. 167, no. 3, pp. 1112–1135, 2015. doi: 10.1007/s10957-013-0386-5
|
| [9] |
S. Tang, “The maximum principle for partially-observed optimal control of stochastic differential equations,” SIAM J. Control Optim., vol. 36, no. 5, pp. 1596–1617, 1998. doi: 10.1137/S0363012996313100
|
| [10] |
G. Wang and Z. Wu, “General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance,” J. Optim. Theory. Appl., vol. 141, no. 3, pp. 677–700, 2009. doi: 10.1007/s10957-008-9484-1
|
| [11] |
J. Shi and Z. Wu, “Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems,” J. Optim. Theory. Appl., vol. 145, no. 3, pp. 543–578, 2010. doi: 10.1007/s10957-010-9696-z
|
| [12] |
R. S. Liptser and A. N. Shiryayev, Statistics of Random Process, NewYork, USA: Springer, 1977.
|
DownLoad: