Existence of optimal controls for a partially observed semimartingale

DOI10.1016/0304-4149(82)90036-9MaRDI QIDQ1169739zbMATH OpenOpenAlexFDO

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
• Existence results for optimal stochastic controls
• Probability methods for approximations in stochastic control and for elliptic equations

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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