An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls
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Publication:1108258
zbMath0653.93069MaRDI QIDQ1108258
Wolfgang J. Runggaldier, Alain Bensoussan
Publication date: 1987
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
stochastic approximationdynamic programming techniquescontinuous-time stochastic control problem with partial observationsrandom measure transformation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Random measures (60G57) Existence of optimal solutions to problems involving randomness (49J55)
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