Nonlinear semigroup arising in the control of diffusions with partial observation

DOI10.1080/17442509008833630MaRDI QIDQ3479304zbMATH OpenOpenAlexFDO

Authors Alain Bensoussan, Makiko Nisio

Publication date 1990

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

Full work available at URL https://doi.org/10.1080/17442509008833630

zbMATH Keywords

Bellman principlecontrol of diffusions with partial observationdynamic programmingstochastic control

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Dynamic programming (90C39) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Nonlinear Semigroup for Controlled Partially Observed Diffusions
• On stochastic relaxed control for partially observed diffusions
• On the existence of optimal control for controlled stochastic partial differential equations
• Optimal Control for Partially Observed Diffusions
• Stochastic partial differential equations and filtering of diffusion processes

Cited in

(10)

• Nonlinear semigroup for the unnormalized conditional density
• A note on a nonlinear semigroup for controlled partially observed diffusions
• A class of semilinear stochastic partial differential equations and their controls: Existence results
• Random relaxed controls and partially observed stochastic systems
• Optimal consumption-investment under partial information in conditionally log-Gaussian models
• scientific article; zbMATH DE number 3918248 (Why is no real title available?)
• The nisio semigroup for controlled diffusions with partial observations
• scientific article; zbMATH DE number 1254160 (Why is no real title available?)
• Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation
• Controlled partially observed diffusions with correlated noise

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