Control of a partially observed diffusion up to an exit time

DOI10.1016/0167-6911(87)90082-XzbMath0617.93076OpenAlexW2088595505MaRDI QIDQ1088969

Vivek S. Borkar

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-6911(87)90082-x

zbMATH Keywords

existence resultpartially observed diffusion processmodified Zakai equationseparated control problem

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

The probabilistic structure of controlled diffusion processes ⋮ ``Minimum toll control of diffusions

Cites Work

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• Existence results for optimal stochastic controls
• Optimal Control for Partially Observed Diffusions
• On stochastic relaxed control for partially observed diffusions

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