A minimum principle for stochastic control problems with output feedback
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Publication:1158396
DOI10.1016/S0167-6911(81)80017-5zbMath0472.93075MaRDI QIDQ1158396
Publication date: 1981
Published in: Systems \& Control Letters (Search for Journal in Brave)
stochastic optimal controlstochastic differential equationsoutput feedbackoptimality conditionminimum principleoutput with observation noisestochastic system with full state feedback
Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Cites Work
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- Stochastic differential equations for the non linear filtering problem
- Stochastic partial differential equations and filtering of diffusion processes
- An Introductory Approach to Duality in Optimal Stochastic Control
- Stochastic Optimal Control with Noisy Observations †
