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

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

Cited in

(13)

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

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