The mean squared loss control problem for a partially observed Markov chain

DOI10.1080/00207179.2017.1362503zbMath1414.93204OpenAlexW2741553535MaRDI QIDQ5742538

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Publication date: 15 May 2019

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12149382780001831

zbMATH Keywords

optimal controlhidden Markov chainfilteringminimum principle

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (1)

Observer and control design in partially observable finite Markov chains

Cites Work

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• A partially observed control problem for Markov chains
• An application of hidden Markov models to asset allocation problems
• Risk-sensitive and risk-neutral control for continuous-time hidden Markov models
• Robust dynamics and control of a partially observed Markov chain
• Anomalous PDEs in Markov chains: domains of validity and numerical solutions
• A General Stochastic Maximum Principle for Optimal Control Problems
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Stochastic Calculus and Applications

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