Existence of optimal controls for partially observed diffusions

DOI10.1080/17442508308833281MaRDI QIDQ3687441zbMATH OpenOpenAlexFDO

Authors Vivek Borkar

Publication date 1983

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508308833281

zbMATH Keywords

Zakai equationrandomized controlsoptimal control for partially observed diffusions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
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• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On the Existence of Optimal Controls for Partially Observed Diffusions
• Partially Observed Diffusions and Their Control
• Representation of Martingales, Quadratic Variation and Applications

Cited in

(20)

• Control of a partially observed diffusion up to an exit time
• The probabilistic structure of controlled diffusion processes
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• Existence and uniqueness of solutions for a partially observed stochastic control problem
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• Martingale measures and partially observable diffusions
• EXISTENCE OF OPTIMAL CONTROLS FOR PARTIALLY OBSERVED GENERAL SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• The value function in ergodic control of diffusion processes with partial observations II
• scientific article; zbMATH DE number 4020996 (Why is no real title available?)
• Random relaxed controls and partially observed stochastic systems
• Controlled partially observed diffusions with correlated noise
• On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions
• The nisio semigroup for controlled diffusions with partial observations
• scientific article; zbMATH DE number 917235 (Why is no real title available?)
• The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control
• scientific article; zbMATH DE number 1055599 (Why is no real title available?)
• On the Existence of Optimal controls of Hilbert Space-Valued Diffusions
• Partially observable optimal control using exponential cost criterion
• On the Existence of Optimal Relaxed Controls of Stochastic Partial Differential Equations
• scientific article; zbMATH DE number 3945001 (Why is no real title available?)

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