On the Existence of Optimal Controls for Partially Observed Diffusions

DOI10.1137/0320030MaRDI QIDQ3941934zbMATH OpenOpenAlexFDO

Authors Ulrich G. Haussmann

Publication date 1982

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

Full work available at URL https://doi.org/10.1137/0320030

zbMATH Keywords

partial observationsrandomized control

Mathematics Subject Classification ID

Brownian motion (60J65) Existence of optimal solutions to problems involving randomness (49J55) Diffusion processes and stochastic analysis on manifolds (58J65) Optimal stochastic control (93E20) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20)

Cited in

(13)

• On stochastic relaxed control for partially observed diffusions
• The probabilistic structure of controlled diffusion processes
• Existence of optimal controls for partially observed diffusions
• Robust stochastic maximum principle for multi-model worst case optimization
• Evaluation of the effectiveness of open-loop evasion strategies in a pursuit-evasion problem
• On the stochastic control-stopping problem
• Assimilating partial observation to enhance feedback control of stochastic dynamical systems
• An efficient numerical algorithm for solving data driven feedback control problems
• Random relaxed controls and partially observed stochastic systems
• An admissible systems approach to separation in partially observed stochastic control problems
• Stochastic zero-sum differential games and backward stochastic differential equations
• Some Remark on Optimal Stochastic Control with Partial Information
• Open-loop evasion strategies in a pursuit-evasion problem in a reduced state space

This page was built for publication: On the Existence of Optimal Controls for Partially Observed Diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3941934)