A note on a nonlinear semigroup for controlled partially observed diffusions (Q1105561)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on a nonlinear semigroup for controlled partially observed diffusions |
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A note on a nonlinear semigroup for controlled partially observed diffusions (English)
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1988
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This paper deals with separated control problems for optimal stochastic controls under partial observations. The author extends the pathwise method of nonlinear filtering to a more general case and proves the continuity property of the unnormalized conditional distribution measure. The nonlinear semigroup, i.e., the Bellman principle, is found.
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Zakai equation
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separated control problems
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optimal stochastic controls under partial observations
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pathwise method
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nonlinear filtering
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nonlinear semigroup
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Bellman principle
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