Optimal control of observations in the filtering of diffusion processes. I

zbMath0574.93072MaRDI QIDQ1063571

B. George

Publication date: 1985

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

conditional mean; optimal control of a partially observed stochastic system

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93E20: Optimal stochastic control

60J60: Diffusion processes

49J55: Existence of optimal solutions to problems involving randomness