Optimal Stochastic Control with Special Information Patterns

DOI10.1137/0318041zbMath0457.93058OpenAlexW2063711409MaRDI QIDQ3907516

Norbert Christopeit

Publication date: 1980

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0318041

zbMATH Keywords

partially observable systemsGirsanov solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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