Optimal Relaxed Controls for Infinite-Dimensional Stochastic Systems of Zakai Type

DOI10.1137/S0363012994269119zbMath0861.93030MaRDI QIDQ4715969

Nasir Uddin Ahmed

Publication date: 19 November 1996

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

zbMATH Keywords

differential inclusionssemigroup approachmeasurable selectionspartially observed control probleminfinite-dimensional Zakai equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20)

Related Items (4)

On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales ⋮ Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces ⋮ Generalized solutions of HJB equations applied to stochastic control on Hilbert space ⋮ Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales

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