Nonlinear Semigroup for Controlled Partially Observed Diffusions

DOI10.1137/0320022MaRDI QIDQ3937265zbMATH OpenOpenAlexFDO

Authors Wendell Fleming

Publication date 1982

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

Full work available at URL https://doi.org/10.1137/0320022

zbMATH Keywords

stochastic controlnonlinear semigroupspartially observed diffusions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Semigroups of nonlinear operators (47H20) Optimal stochastic control (93E20)

Cited in

(14)

• Ergodicity of a measure-valued Markov chain induced by random transformations
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• On stochastic relaxed control for partially observed diffusions
• The probabilistic structure of controlled diffusion processes
• Mean Field Games with Partial Observation
• Nonlinear semigroup arising in the control of diffusions with partial observation
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
• Controlled partially observed diffusions with correlated noise
• A note on a nonlinear semigroup for controlled partially observed diffusions
• Some Remark on Optimal Stochastic Control with Partial Information
• Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
• Nonlinear semigroup for the unnormalized conditional density
• Stochastic control with delayed information and related nonlinear master equation

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