Control with partial observations and an explicit solution of Mortensen's equation

DOI10.1007/s00245-003-0788-0zbMath1060.93106OpenAlexW2079585889MaRDI QIDQ1885368

Václav E. Beneš, Hui Wang, Daniel L. Ocone, Ioannis Karatzas

Publication date: 28 October 2004

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

Full work available at URL: https://doi.org/10.1007/s00245-003-0788-0

zbMATH Keywords

dynamic programmingstochastic controlfilteringvalue functionpartial observationsMortensen equationrecursive stochastic equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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