The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control

DOI10.1214/aoap/1177005653zbMath0759.60067OpenAlexW2009852360MaRDI QIDQ1201318

Daniel L. Ocone, Ioannis Karatzas

Publication date: 17 January 1993

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005653

zbMATH Keywords

existenceuniquenessBrownian motionoptimal control of diffusion processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic learning and adaptive control (93E35) Transition functions, generators and resolvents (60J35)

Related Items (3)

The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel ⋮ Singular control of the drift of a Brownian system ⋮ A leavable bounded-velocity stochastic control problem.

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