Existence of optimal stochastic controls under partial observation

DOI10.1007/BF00536189zbMath0407.93064OpenAlexW2051652536MaRDI QIDQ4194857

Norbert Christopeit

Publication date: 1980

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00536189

zbMATH Keywords

ConvergenceProbability MeasuresNonlinear Stochastic Differential EquationPartial ObservationExistence of Optimal Stochastic Controls

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Related Items (9)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ A note on compactness in Banach spaces ⋮ Stochastic Control with Delayed Information and Related Nonlinear Master Equation ⋮ On the existence of weak solutions to stochastic differential equations with degenerate diffusion ⋮ Strategies using an observer for steering a random motion of a point in a multitarget environment ⋮ Computation of suboptimal randomized strategies for steering the random motion of a point under partial observation ⋮ Bang-bang partially observable feedback strategies for a rendezvous problem† ⋮ On Benes' bang-bang control problem ⋮ Separation principle for impulse control with partial information

Cites Work

• Existence results for optimal stochastic controls
• On the Solutions of a Stochastic Control System
• Existence of Optimal Stochastic Control Laws
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