The variational principle for optimal control of diffusions with partial information

DOI10.1016/0167-6911(89)90097-2zbMath0684.49011OpenAlexW2030622819MaRDI QIDQ1825430

Michael Kohlmann, Robert J. Elliott

Publication date: 1989

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(89)90097-2

zbMATH Keywords

minimum principlestochastic diffusion equations\(\epsilon \) -optimal controlStrong variations

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Related Items

Risk-sensitivity, large deviations and stochastic control ⋮ A Maximum Principle for Stochastic Control with Partial Information ⋮ The optimal control of diffusions ⋮ Open-loop evasion strategies in a pursuit-evasion problem in a reduced state space ⋮ A risk-sensitive maximum principle ⋮ Evaluation of the effectiveness of open-loop evasion strategies in a pursuit-evasion problem ⋮ A Characterization of Approximate Solutions of Multiobjective Stochastic Optimal Control Problems ⋮ A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information ⋮ Control of partially observed diffusions

Cites Work

• On the variational principle
• The variational principle and stochastic optimal control
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