Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem

DOI10.1016/j.spa.2018.03.014zbMath1405.93229arXiv1609.02697OpenAlexW2519554014WikidataQ130019075 ScholiaQ130019075MaRDI QIDQ1713474

Elena Bandini, Marco Fuhrman, Huyên Pham, Andrea Cosso

Publication date: 25 January 2019

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

Full work available at URL: https://arxiv.org/abs/1609.02697

zbMATH Keywords

Bellman equationviscosity solutionsWasserstein spacedynamic programming principlerandomization of controlspartial observation control problem

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Dynamic programming (90C39) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise ⋮ Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation ⋮ Kolmogorov equations on spaces of measures associated to nonlinear filtering processes ⋮ Hamilton-Jacobi equations for controlled gradient flows: the comparison principle ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Viscosity Solutions for McKean–Vlasov Control on a Torus ⋮ Stochastic Control with Delayed Information and Related Nonlinear Master Equation ⋮ Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales ⋮ Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions ⋮ Mean field approach to stochastic control with partial information ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures

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