Optimal control of observations in the filtering of diffusion processes. I (Q1063571)
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scientific article; zbMATH DE number 3918247
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of observations in the filtering of diffusion processes. I |
scientific article; zbMATH DE number 3918247 |
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Optimal control of observations in the filtering of diffusion processes. I (English)
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1985
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The author considers the optimal control of a partially observed stochastic system. He shows that the stochastic equation for the conditional mean has a unique solution and under suitable assumptions he shows the existence of an optimal control.
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optimal control of a partially observed stochastic system
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conditional mean
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0.9892781
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