Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation
DOI10.1016/0898-1221(86)90059-3zbMath0614.93068OpenAlexW2005588532MaRDI QIDQ4723665
Publication date: 1986
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(86)90059-3
optimal stoppingcontrolled diffusionsBellman principleZakai's equationoptimal stochastic control problem with partial observation
Semigroups of nonlinear operators (47H20) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
Related Items (1)
Cites Work
- A uniqueness result for the semigroup associated with the Hamilton- Jacobi-Bellman operator
- Nonlinear semigroup for the unnormalized conditional density
- On nonlinear semigroups for Markov processes associated with optimal stopping
- Optimal stopping and a martingale approach to the penalty method
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
- Optimal Control for Partially Observed Diffusions
- Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation
