Optimal controls for partially observed stochastic systems: an infinitesimal approach

DOI10.1080/17442508308833241zbMath0503.93073OpenAlexW2022972788MaRDI QIDQ4739772

Nigel J. Cutland

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833241

zbMATH Keywords

nonstandard analysispartially observed stochastic systemshyperfinite Loeb spaceoptimal related control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55) Nonstandard analysis (26E35) Other applications of nonstandard models (economics, physics, etc.) (03H10)

Related Items

A necessary condition for optimality in a problem of stochastic control with discretized observations ⋮ Simplified existence for solutions to stochastic differential equations ⋮ Random relaxed controls and partially observed stochastic systems ⋮ Infinitesimal methods in control theory: deterministic and stochastic

Cites Work

• A non-standard representation for Brownian motion and Ito integration
• On the existence of solutions to stochastic differential equations on Loeb spaces
• Unnamed Item