Necessary Conditions of Optimization for Partially Observed Controlled Diffusions

DOI10.1137/S0363012994259379MaRDI QIDQ4699142zbMATH OpenOpenAlexFDO

Authors Charalambos D. Charalambous, J. L. Hibey

Publication date 23 November 1999

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012994259379

zbMATH Keywords

measure-valued decompositionsminimum principlenonlinear filteringpartially observable diffusionsseparation principlestochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• A necessary condition for optimality in a problem of stochastic control with discretized observations
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• The Maximum Principle for Optimal Control of Diffusions with Partial Information
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• General necessary conditions for partially observed optimal stochastic controls

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