On optimal correction problems with partial information

DOI10.1080/07362998508809053MaRDI QIDQ5187193zbMATH OpenOpenAlexFDO

Authors José-Luis Menaldi, M. Robin

Publication date 1985

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

Full work available at URL https://doi.org/10.1080/07362998508809053

zbMATH Keywords

Hamilton-Jacobi-Bellman equationspartial informationpenalty argumentstochastic connection problems

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

Recommendations

• Some Remark on Optimal Stochastic Control with Partial Information
• A maximum principle for a class of stochastic control problems with partial information
• Stochastic Linear-Quadratic Optimal Control with Partial Observation
• scientific article; zbMATH DE number 4014596
• scientific article; zbMATH DE number 4213893

Cites work

• A class of singular stochastic control problems
• A continuous time inventory model
• A diffusion model for the control of a dam
• Bounded peaking in the optimal linear regulator with cheap control
• Cheap control of the time-invariant regulator
• scientific article; zbMATH DE number 3875117 (Why is no real title available?)
• scientific article; zbMATH DE number 3813492 (Why is no real title available?)
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3744982 (Why is no real title available?)
• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• scientific article; zbMATH DE number 3774629 (Why is no real title available?)
• scientific article; zbMATH DE number 3505982 (Why is no real title available?)
• scientific article; zbMATH DE number 3638617 (Why is no real title available?)
• Instantaneous Control of Brownian Motion
• Le principe de separation pour le probleme de temps d'arret optimal
• Minimax impulsive correction of perturbations of a linear damped oscillator
• On the Separation Theorem of Stochastic Control
• Optimal Control of a Brownian Motion
• Optimal control of a Brownian storage system
• Optimal impulse correction under random perturbations
• Optimum correction under active disturbances
• Self-similar solutions of the Bellman equation for optimal correction of random disturbances
• Singular perturbations and order reduction in control theory - an overview
• Solution of certain optimal correction problems with error of execution of the control action
• Some solvable stochastic control problemst^†
• The monotone follower problem in stochastic decision theory
• The Optimal Policy for a Controlled Brownian Motion Process

Cited in

(10)

• Singular ergodic control for multidimensional Gaussian processes
• Optimal correction problem of a multidimensional stochastic system
• Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
• Optimal reduction of public debt under partial observation of the economic growth
• Correction of efficient solutions in a multistage stochastic optimization problem
• scientific article; zbMATH DE number 3849115 (Why is no real title available?)
• Absolutely continuous and singular stochastic control^†
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• Singular control problems in bounded intervals
• An efficient solution to the informed principal problem

This page was built for publication: On optimal correction problems with partial information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5187193)