Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
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Publication:1567418
DOI10.1006/jfan.2000.3562zbMath1047.93047OpenAlexW2033502847MaRDI QIDQ1567418
Publication date: 2000
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jfan.2000.3562
Hamilton-Jacobi-Bellman equationsDuncan-Mortensen-Zakai equationviscosity solutionsoptimal control of partially observed systems
Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control ⋮ Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ A maximum principle for controlled stochastic factor model ⋮ Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem ⋮ Some Remark on Optimal Stochastic Control with Partial Information ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Adaptive boundary concentration control using Zakai equation ⋮ Mild solutions of semilinear elliptic equations in Hilbert spaces ⋮ A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions ⋮ Mean field approach to stochastic control with partial information ⋮ A PDE approach to large deviations in Hilbert spaces
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