Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions

DOI10.1080/17442509608834063MaRDI QIDQ4364128zbMATH OpenOpenAlexFDO

Authors Charalambos D. Charalambous, J. L. Hibey

Publication date 22 July 1998

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509608834063

zbMATH Keywords

information stateLEQG problemminimum principlepartially observed diffusion control problemrisk sensitive control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
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• Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity
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• Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
• Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
• A second-order necessary condition for risk-sensitive mean-field type control
• Partially observable optimal control using exponential cost criterion
• Signalling and control of nonlinear partially observable stochastic systems: information states, sufficient statistics, and applications
• A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications
• Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces

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