A separation theorem for stochastic singular linear quadratic control problem with partial information

DOI10.1007/s10255-013-0218-2zbMath1266.93163OpenAlexW2071526905MaRDI QIDQ350752

Hongji Ma, Ting Hou

Publication date: 3 July 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-013-0218-2

zbMATH Keywords

linear systemsseparation theoremgeneralized differential Riccati equationKalman-Bucy filteringlinear quadratic (LQ) controlsingular optimal control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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