A new method of solving the optimal control problem for a partially observable stochastic Volterra process

DOI10.1016/0021-8928(89)90147-0zbMath0723.93079OpenAlexW2056843946MaRDI QIDQ2276924

Leonid Shaikhet

Publication date: 1989

Published in: Journal of Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-8928(89)90147-0

zbMATH Keywords

optimal controloptimal filtering problemIntegral Volterra equationsstochastic Volterra process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control problems involving ordinary differential equations (34H05)

Cites Work

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• Riccati equations in the stability of retarded stochastic linear systems
• On the Separation Theorem of Stochastic Control
• Contact problems of creep theory