Information states for linear stochastic systems

DOI10.1016/0022-247X(72)90281-8zbMath0197.42502MaRDI QIDQ2540159

Pravin P. Varaiya, Mark H. A. Davis

Publication date: 1972

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

control theory

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Related Items

Geometry of information structures, strategic measures and associated stochastic control topologies, Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement, A robust Kalman-Bucy filtering problem, Estimation and control for linear, partially observable systems with non- Gaussian initial distribution, Unnamed Item, Examples of optimal control for partially observable systems:comparison, classical, and martingale methods, Further results on asset pricing with incomplete information

Cites Work

• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On the Separation Theorem of Stochastic Control
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