Existence of optimal controls for partially observed linear diffusions

DOI10.1016/0167-6911(83)90008-7zbMath0518.93063OpenAlexW2066760545MaRDI QIDQ1054699

Kurt Helmes, Norbert Christopeit

Publication date: 1983

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(83)90008-7

zbMATH Keywords

strong solutionsseparation principlepartially observed linear diffusions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

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• The Separation Principle in Stochastic Control via Girsanov Solutions
• Théorie probabiliste du contrôle des diffusions
• Composition and invariance methods for solving some stochastic control problems
• On the Separation Theorem of Stochastic Control

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