Martingale measures and partially observable diffusions

DOI10.1080/07362999108809232MaRDI QIDQ3977276zbMATH OpenOpenAlexFDO

Authors Nicole El Karoui, Monique Jeanblanc

Publication date 25 June 1992

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999108809232

zbMATH Keywords

filteroptimal controlpartial observationsstochastic integral with respect to a martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Optimal stochastic control (93E20)

Review text

This paper deals with the problem of optimal control based on partial observations in the general case where the observation depends on the control. The authors give a martingale formulation to the problem and represent the filter as a stochastic integral with respect to a martingale measure. The existence of an optimal relaxed control is proved, employing the same method as in the previous works of the authors and \textit{Du Huu Nguyen} [Stochastics 20, 196-219 (1987; Zbl 0613.60051) and SIAM J. Control Optimization 26, No. 5, 1025-1061 (1988; Zbl 0657.60063)].

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Cites work

• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• Martingale measures and stochastic calculus
• On stochastic relaxed control for partially observed diffusions
• Unique characterization of conditional distributions in nonlinear filtering

Cited in

(9)

• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Existence of optimal controls for partially observed jump processes
• Piecewise constant martingales and lazy clocks
• Existence of optimal controls for partially observed diffusions
• scientific article; zbMATH DE number 3974877 (Why is no real title available?)
• scientific article; zbMATH DE number 4042963 (Why is no real title available?)
• scientific article; zbMATH DE number 4126417 (Why is no real title available?)
• scientific article; zbMATH DE number 5041183 (Why is no real title available?)
• Martingale measures and stochastic calculus

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