Control of partially observed diffusions

DOI10.1007/BF00941399zbMath0795.49019OpenAlexW2018358701MaRDI QIDQ1321122

Robert J. Elliott, Hailiang Yang

Publication date: 27 April 1994

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00941399

zbMATH Keywords

optimal controlstochastic minimum principlepartially observed diffusion

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation ⋮ Optimal harvesting from a population in a stochastic crowded environment ⋮ Markovian forward-backward stochastic differential equations and stochastic flows

Cites Work

• The variational principle for optimal control of diffusions with partial information
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• The Maximum Principle for Optimal Control of Diffusions with Partial Information
• The Optimal Control of a Stochastic System
• The Partially Observed Stochastic Minimum Principle
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