Dynamic Programming Conditions for Partially Observable Stochastic Systems
From MaRDI portal
Recommendations
- Dynamic programming for ergodic control with partial observations.
- Dynamic programming and stochastic control
- Optimality conditions for partially observable Markov decision processes
- scientific article; zbMATH DE number 4191401
- Dynamic programming in stochastic control of systems with delay
- scientific article; zbMATH DE number 49106
- Dynamic programming for multidimensional stochastic control problems
- Partially observable multistage stochastic programming
Cited in
(79)- Risk-Sensitive Mean-Field Type Control Under Partial Observation
- The limits of leverage
- Bang-bang partially observable feedback strategies for a rendezvous problem†
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Portfolio optimization for an investor with a benchmark
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries
- Techniques probabilistes dans le contrôle impulsionnel
- Optimal control of a jump process
- The probabilistic structure of controlled diffusion processes
- On the separation principle with bounded controls
- Stochastic control of system with unobserved jump parameter process
- Dynamic programming optimality criteria for stochastic systems in Riemannian manifolds
- Lagrange approach to the optimal control of diffusions
- Dissipative stochastic dynamical systems
- Forward and backward semimartingale models for gaussian processes with stationary increments
- Shortfall aversion on a finite horizon
- A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.
- Control with partial observations and an explicit solution of Mortensen's equation
- Nash-equilibrium in stochastic differential games
- Conjugate convex functions in optimal stochastic control
- Nonanticipative risk sensitive control: the martingale method.
- The optimal control of diffusions
- The optimal investment, liability and dividends in insurance
- A stochastic minimum principle
- The dynamic programming method in systems with states in the form of distributions
- Separation principle for impulse control with partial information
- The value function in ergodic control of diffusion processes with partial observations
- Lagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionals
- On the stochastic control-stopping problem
- Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system
- Optimal switching problems of tandem type
- A necessary condition for optimality in a problem of stochastic control with discretized observations
- Optimal stopping of continuous time stochastic processes and stochastic differential representations for the value functions
- Young, timid, and risk takers
- Transaction costs, trading volume, and the liquidity premium
- On the existence of solutions to stochastic differential equations on Loeb spaces
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
- Operational absolutely optimal dynamic control of the stochastic differential plant's state by its output
- Optimal finite-dimensional controller of the stochastic differential object's state by its output. I: Incomplete precise measurements
- Simulation-based optimization of Markov decision processes: an empirical process theory approach
- Optimality criteria for controlled discontinuous processes
- Stochastic control by measure transformation: A general existence result
- Least-squares state estimation of systems with state-dependent observation noise
- Optimal locally absolutely continuous change of measure. finite set of decisions. part i
- Local optimality conditions for optimal stopping
- Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
- A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
- scientific article; zbMATH DE number 3554125 (Why is no real title available?)
- On the optimal control of stochastic systems with an exponential-of- integral performance index
- Finite-dimensional attainable sets for stochastic control systems
- Zero-sum stochastic differential games and backward equations
- Dynamic programming for ergodic control with partial observations.
- Geometry of information structures, strategic measures and associated stochastic control topologies
- Zero-sum path-dependent stochastic differential games in weak formulation
- Verification theorem related to a zero sum stochastic differential game based on a chain rule for nonsmooth functions
- Optimal control of diffusion processes with reflection
- Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale
- Adjoint processes in stochastic optimal control problems
- Backward stochastic partial differential equations related to utility maximization and hedging
- Exit probabilities and optimal stochastic control
- Strong envelopes of stochastic processes and a penalty method†
- Computation of suboptimal randomized strategies for steering the random motion of a point under partial observation
- Optimal compensation with hidden action and lump-sum payment in a continuous-time model
- Optimal compensation with adverse selection and dynamic actions
- An invariance principle in large population stochastic dynamic games
- Martingale approach to stochastic differential games of control and stopping
- Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
- Gaussian agency problems with memory and linear contracts
- Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement
- Singular stochastic control and optimal stopping
- Optimal contracting under mean-volatility joint ambiguity uncertainties
- Partially observable optimal control using exponential cost criterion
- scientific article; zbMATH DE number 3745962 (Why is no real title available?)
- Control problem for diffusion-type random fields
- Strategies using an observer for steering a random motion of a point in a multitarget environment
- Encounters with Martingales in Stochastic Control
- Reflections on BSDEs
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
This page was built for publication: Dynamic Programming Conditions for Partially Observable Stochastic Systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5675611)