Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation

DOI10.1006/jfan.2000.3562zbMath1047.93047OpenAlexW2033502847MaRDI QIDQ1567418

Fausto Gozzi, Andrzej Świȩch

Publication date: 2000

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jfan.2000.3562

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsDuncan-Mortensen-Zakai equationviscosity solutionsoptimal control of partially observed systems

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (16)

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control ⋮ Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ A maximum principle for controlled stochastic factor model ⋮ Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem ⋮ Some Remark on Optimal Stochastic Control with Partial Information ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Adaptive boundary concentration control using Zakai equation ⋮ Mild solutions of semilinear elliptic equations in Hilbert spaces ⋮ A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions ⋮ Mean field approach to stochastic control with partial information ⋮ A PDE approach to large deviations in Hilbert spaces

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On filtering equations in infinite dimensions
• Partially observed control of Markov processes. III
• Une inégalité pour les opérateurs elliptiques du second ordre
• Viscosity solutions for a class of Hamilton-Jacobi equations in Hilbert spaces
• A duality analysis on stochastic partial differential equations
• Optimization of functions on certain subsets of Banach spaces
• On a functional analysis approach to parabolic equations in infinite dimensions
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. IV: Hamiltonians with unbounded linear terms
• Martingales and stochastic integrals. I
• partially observed control of markov processes, I
• Partially observed control of markov processes, ii
• Optimal Controls for Stochastic Partial Differential Equations
• Infinite-Dimensional Hamilton–Jacobi Equations and Dirichlet Boundary Control Problems of Parabolic Type
• Stochastic partial differential equations and filtering of diffusion processes
• Nonlinear Semigroup for Controlled Partially Observed Diffusions
• Optimal Control for Partially Observed Diffusions
• Second-Order Hamilton–Jacobi Equations in Infinite Dimensions
• On the Existence of Optimal Relaxed Controls of Stochastic Partial Differential Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of nonlinear second-order partial differential equations in hilbert spaces
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem
• Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation