Optimal Control for Partially Observed Diffusions
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(65)- Existence of optimal controls for partially observed linear diffusions
- Nonlinear semigroup for the unnormalized conditional density
- Control of a partially observed diffusion up to an exit time
- The probabilistic structure of controlled diffusion processes
- A note on a nonlinear semigroup for controlled partially observed diffusions
- Open-loop evasion strategies in a pursuit-evasion problem in a reduced state space
- Random relaxed controls and partially observed stochastic systems
- Parameter identification for partially observed diffusions
- Maximum likelihood estimate for discontinuous parameter in stochastic hyperbolic systems
- Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
- Partially observed control of Markov processes. IV
- Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
- Optimal controls for stochastic systems with singular noise
- Geometry of information structures, strategic measures and associated stochastic control topologies
- Optimal reduction of public debt under partial observation of the economic growth
- An efficient numerical algorithm for solving data driven feedback control problems
- The value of knowing the market price of risk
- Optimal convergence trading with unobservable pricing errors
- A further remark on dynamic programming for partially observed Markov processes
- Dynamic programming for ergodic control with partial observations.
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement
- Nonlinear filtering for jump diffusion observations
- Solution of certain parabolic equations with unbounded coefficients and its application to nonlinear filtering
- Evaluation of the effectiveness of open-loop evasion strategies in a pursuit-evasion problem
- On the existence of optimal control for controlled stochastic partial differential equations
- Nonlinear semigroup arising in the control of diffusions with partial observation
- Adaptive boundary concentration control using Zakai equation
- Separation principle for impulse control with partial information
- A characterization of ε-optimal controls for stochastic systems with partial observations via the unnormalized conditional density
- An admissible systems approach to separation in partially observed stochastic control problems
- Optimal locally absolutely continuous change of measure. finite set of decisions. part i
- Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
- The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel
- scientific article; zbMATH DE number 1766614 (Why is no real title available?)
- Pairs trading under drift uncertainty and risk penalization
- Stochastic control with delayed information and related nonlinear master equation
- Control: a perspective
- The value function in ergodic control of diffusion processes with partial observations
- Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation
- On optimal investment for a behavioral investor in multiperiod incomplete market models
- Two-armed restless bandits with imperfect information: stochastic control and indexability
- Dual adaptive controls for linear system with unknown constant parameters
- Some Remark on Optimal Stochastic Control with Partial Information
- Isomorphism Properties of Optimality and Equilibrium Solutions Under Equivalent Information Structure Transformations: Stochastic Dynamic Games and Teams
- Optimal execution with multiplicative price impact and incomplete information on the return
- Implicit incentives for fund managers with partial information
- Optimal investment with a noisy signal of future stock prices
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
- Infinite-time partially observed nonzero-sum bilinear affine-quadratic stochastic differential game and its application to competitive advertising
- Another look at partially observed optimal stochastic control: existence, ergodicity, and approximations without belief-reduction
- Portfolio optimization for a large investor under partial information and price impact
- Controlled diffusions under full, partial, and decentralized information: existence of optimal policies and discrete-time approximations
- Partially observable optimal control using exponential cost criterion
- On the contributions of Wendell Fleming
- Optimal adaptive control with separable drift uncertainty
- Portfolio and reinsurance optimization under unknown market price of risk
- Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion
- Assimilating partial observation to enhance feedback control of stochastic dynamical systems
- Robustness of optimal controlled diffusions with near-Brownian noise via rough paths theory
- Optimal control of stochastic partial differential equations with partial observations: stochastic maximum principles and numerical approximation
- Constrained nonlinear estimation and links with stochastic filtering
- Numerical approximations for partially observed optimal control of stochastic partial differential equations
- A measure-valued HJB perspective on Bayesian optimal adaptive control
- Controlled partially observed diffusions with correlated noise
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