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Maximum principles for forward-backward stochastic control systems with correlated state and observation noises. (English) Zbl 1262.93027


MSC:

93E20 Optimal stochastic control
49K45 Optimality conditions for problems involving randomness
93E11 Filtering in stochastic control theory
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
49N10 Linear-quadratic optimal control problems
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