Some Remark on Optimal Stochastic Control with Partial Information

DOI10.1080/07362990500292783zbMath1125.93068OpenAlexW2006437425MaRDI QIDQ5707913

Isabelle Turpin, Fouzia Baghery, Youssef Ouknine

Publication date: 25 November 2005

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

Full work available at URL: https://doi.org/10.1080/07362990500292783

zbMATH Keywords

stochastic controlstochastic flowviscosity solutionsZakai equation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)

Cites Work

• Unnamed Item
• Partially observed control of Markov processes. III
• Nonlinear semigroup for the unnormalized conditional density
• Hamilton-Jacobi equations in infinite dimensions. I: Uniqueness of viscosity solutions
• Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
• 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
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Stochastic partial differential equations and filtering of diffusion processes
• Nonlinear Semigroup for Controlled Partially Observed Diffusions
• On the Existence of Optimal Controls for Partially Observed Diffusions
• Optimal Control for Partially Observed Diffusions
• Partially Observed Diffusions and Their Control
• On stochastic relaxed control for partially observed diffusions

This page was built for publication: Some Remark on Optimal Stochastic Control with Partial Information