The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel

DOI10.1080/07362999308809332zbMath0806.93059OpenAlexW1967145924MaRDI QIDQ4284123

Ioannis Karatzas, Daniel L. Ocone

Publication date: 6 February 1995

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999308809332

zbMATH Keywords

finite-horizon

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (3)

Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional ⋮ Singular control of the drift of a Brownian system ⋮ A leavable bounded-velocity stochastic control problem.

Cites Work

• The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control
• Optimal Control for Partially Observed Diffusions
• Unnamed Item
• Unnamed Item

This page was built for publication: The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel