A partially observed control problem for Markov chains

DOI10.1007/BF01182478zbMath0762.93009MaRDI QIDQ1187561

Robert J. Elliott

Publication date: 22 July 1992

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Zakai equationfinite state, continuous time Markov chain

Mathematics Subject Classification ID

Observability (93B07)

Related Items (12)

Hybrid estimation algorithms ⋮ Optimization of queuing system via stochastic control ⋮ Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Optimal control problem regularization for the Markov process with finite number of states and constraints ⋮ Finite dimensional predictors for hidden Markov chains ⋮ Robust dynamics and control of a partially observed Markov chain ⋮ The mean squared loss control problem for a partially observed Markov chain ⋮ Towards the optimal control of Markov chains with constraints ⋮ Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

Cites Work

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• Dynamic file assignment in a computer network
• Optimal control of noisy finite-state Markov processes
• Optimal Control of Jump Processes
• An Introductory Approach to Duality in Optimal Stochastic Control
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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