Existence of optimal controls for a partially observed semimartingale

DOI10.1016/0304-4149(82)90036-9zbMATH Open0495.60009OpenAlexW1975351585MaRDI QIDQ1169739FDOQ1169739

Authors: Michael Kohlmann 

Publication date: 1982

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(82)90036-9

zbMATH Keywords

optimal controlweak convergence of measuresadmissible controlSkorokhod imbedding and convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

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• Calcul stochastique et problèmes de martingales
• Probability methods for approximations in stochastic control and for elliptic equations
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• Existence results for optimal stochastic controls
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Cited In (2)

• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Two-armed restless bandits with imperfect information: stochastic control and indexability

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