An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information

A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises

(2016) Haiyan Zhang   Journal of Industrial and Management Optimization

Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control

(2015) Yuan-Hua Ni et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information

(2015) Guangchen Wang et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures

(2015) Mokhtar Hafayed et al.   INTERNATIONAL JOURNAL OF CONTROL

Discrete time mean-field stochastic linear-quadratic optimal control problems

(2013) Robert Elliott et al.   AUTOMATICA

Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information

(2013) Guangchen Wang et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

On Near-Optimal Mean-Field Stochastic Singular Controls: Necessary and Sufficient Conditions for Near-Optimality

(2013) Mokhtar Hafayed et al.   JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises

(2013) Guangchen Wang et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

(2013) Jiongmin Yong   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

A mean-field stochastic maximum principle via Malliavin calculus

(2012) Thilo Meyer-Brandis et al.   Stochastics-An International Journal of Probability and Stochastic Processes

Optimal premium policy of an insurance firm: Full and partial information

(2010) Jianhui Huang et al.   INSURANCE MATHEMATICS & ECONOMICS

Kalman–Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems

(2008) Guangchen Wang et al.   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS