Information states for linear stochastic systems

DOI10.1016/0022-247X(72)90281-8MaRDI QIDQ2540159zbMATH OpenFDO

Authors Mark H. A. Davis, Pravin Varaiya

Publication date 1972

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-247X(72)90281-8

zbMATH Keywords

control theory

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cites work

• scientific article; zbMATH DE number 3155151 (Why is no real title available?)
• scientific article; zbMATH DE number 3236476 (Why is no real title available?)
• On the Separation Theorem of Stochastic Control
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Cited in

(7)

• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• Geometry of information structures, strategic measures and associated stochastic control topologies
• A robust Kalman-Bucy filtering problem
• Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement
• Examples of optimal control for partially observable systems:comparison, classical, and martingale methods
• scientific article; zbMATH DE number 7625165 (Why is no real title available?)
• Further results on asset pricing with incomplete information

This page was built for publication: Information states for linear stochastic systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2540159)