Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem

DOI10.1016/j.spa.2018.03.014zbMath1405.93229arXiv1609.02697OpenAlexW2519554014WikidataQ130019075 ScholiaQ130019075MaRDI QIDQ1713474

Elena Bandini, Marco Fuhrman, Huyên Pham, Andrea Cosso

Publication date: 25 January 2019

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

Full work available at URL: https://arxiv.org/abs/1609.02697

zbMATH Keywords

Bellman equationviscosity solutionsWasserstein spacedynamic programming principlerandomization of controlspartial observation control problem

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Dynamic programming (90C39) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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