Control of a partially observed diffusion up to an exit time
type: Item
instance of: scholarly article
title: Control of a partially observed diffusion up to an exit time
zbMATH Open document ID: 0617.93076
DOI: 10.1016/0167-6911(87)90082-X
author: Vivek Borkar
published in: Systems \& Control Letters
publication date: 1987-01-01T00:00:00Z
review text: The problem of controlling a partially observed diffusion process is studied when the cost structure has the form of an integral up to the first exit time from a bounded domain. A modified Zakai equation and the associated separated control problem are derived. An existence result for an optimal wide sense admissible control rule is sketched by analogy with the known 'finite time horizon' case.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 93C10
zbMATH DE Number: 4002017
zbMATH Keywords: partially observed diffusion process
zbMATH Keywords: modified Zakai equation
zbMATH Keywords: separated control problem
zbMATH Keywords: existence result
MaRDI profile type: Publication
cites work: On stochastic relaxed control for partially observed diffusions
cites work: Optimal Control for Partially Observed Diffusions
cites work: Q5520962
cites work: Q3908216
cites work: Existence results for optimal stochastic controls
full work available at URL: 0167-6911(87)90082-x
OpenAlex ID: W2088595505
description: scientific article; zbMATH DE number 4002017