Mixed control problem under partial observation

DOI10.1007/BF01182598zbMath0762.60034MaRDI QIDQ1205512

Laurent Mazliak

Publication date: 1 April 1993

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

zbMATH Keywords

dynamic programming principlefiltering equation and applicationsmixed control problem under partial observationsoptimality for control-stopping rules

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Existence of optimal solutions to problems involving randomness (49J55)

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Stochastic control methods in optimal design of life testing ⋮ Nonlinear Filtering for Jump Diffusion Observations ⋮ Encounters with Martingales in Stochastic Control ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Controlled Heterogeneous Collection: The Role of Occupation Numbers ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems ⋮ A note on weak viability for controllled diffusion. ⋮ Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries

Cites Work

• Calcul stochastique et problèmes de martingales
• Partially observed control of Markov processes. III
• Probabilistic aspects of finite-fuel, reflected follower problems
• Measure-valued processes in the control of partially-observable stochastic systems
• On the Existence of Optimal Controls
• Weak convergence of sequences of semimartingales with applications to multitype branching processes
• A criterion of convergence of measure‐valued processes: application to measure branching processes
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Existence of weak solutions for stochastic differential equations with driving semimartingales
• ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
• [https://portal.mardi4nfdi.de/wiki/Publication:4176251 Un probl�me de contr�le stochastique avec observation partielle]
• Numerical Methods for Stochastic Control Problems in Continuous Time
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