The Partially Observed Stochastic Minimum Principle

DOI10.1137/0327065zbMath0681.93068OpenAlexW2005249354MaRDI QIDQ4731120

John S. Baras, Michael Kohlmann, Robert J. Elliott

Publication date: 1989

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1903/4735

zbMATH Keywords

minimum principlestochastic flowsmartingale representationadjoint process

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)

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