Existence of optimal controls for partially observed linear diffusions

DOI10.1016/0167-6911(83)90008-7MaRDI QIDQ1054699zbMATH OpenOpenAlexFDO

Authors Norbert Christopeit, K. Helmes

Publication date 1983

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(83)90008-7

zbMATH Keywords

strong solutionsseparation principlepartially observed linear diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

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• Composition and invariance methods for solving some stochastic control problems
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• Le principe de separation pour le probleme de temps d'arret optimal
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• On Benes' bang-bang control problem
• On the Separation Theorem of Stochastic Control
• On the uniqueness of solutions of stochastic differential equations
• Optimal Control for Partially Observed Diffusions
• Optimal control for a class of partially observable systems^†
• The Separation Principle in Stochastic Control via Girsanov Solutions
• Théorie probabiliste du contrôle des diffusions

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