Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching.
Shuaiqi ZhangJie XiongXiangdong LiuPublished in: Sci. China Inf. Sci. (2018)
Keyphrases
- partially observed
- forward backward
- stochastic differential equations
- brownian motion
- maximum a posteriori estimation
- hidden markov models
- fractional brownian motion
- additive gaussian noise
- stochastic process
- markov chain
- optimal control
- non stationary
- differential equations
- queue length
- stochastic processes
- poisson process
- image processing
- long range
- dynamical systems
- reinforcement learning