Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
Work
Year: 2018
Type: article
Abstract: We introduce a suitable backward stochastic differential equation (BSDE) to represent the value of an optimal control problem with partial observation for a controlled stochastic equation driven by Br... more
Institutions Délégation Paris 7, Université Paris Cité, Laboratoire de Probabilités, Statistique et Modélisation, École Nationale de la Statistique et de l'Administration Économique
Cites: 31
Cited by: 31
Related to: 10
FWCI: 5.762
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green