Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching

The near-optimal maximum principle of impulse control for stochastic recursive system

(2016) Jianhui Huang et al.   Science China-Information Sciences

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

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

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

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

Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints

(2012) Catherine Donnelly et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

(2012) Xin Zhang et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

(2011) Catherine Donnelly   APPLIED MATHEMATICS AND OPTIMIZATION

A maximum principle for partially observed optimal control of forward-backward stochastic control systems

(2010) Zhen Wu   Science China-Information Sciences

The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

(2009) Guangchen Wang et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance

(2009) G. C. Wang et al.   JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications

(2009) Jianhui Huang et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

(2009) Bernt Øksendal et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

Mean-field backward stochastic differential equations and related partial differential equations

(2009) Rainer Buckdahn et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

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