Partially observed control of Markov processes. III

DOI10.1214/AOP/1176990737zbMath0727.60043OpenAlexW1996723628MaRDI QIDQ803641

Omar Hijab

Publication date: 1990

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990737

zbMATH Keywords

Bellman equationfilteringmartingale problemmeasure-valued diffusionpartially observed control problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15)

Related Items (5)

Metric viscosity solutions of Hamilton-Jacobi equations depending on local slopes ⋮ Some Remark on Optimal Stochastic Control with Partial Information ⋮ Mixed control problem under partial observation ⋮ Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation ⋮ Infinite-dimensional Hamilton-Jacobi equations with large zeroth-order coefficient

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