A necessary condition for optimality in a problem of stochastic control with discretized observations

DOI10.1080/00207178408933219zbMATH Open0538.93075OpenAlexW2029100317WikidataQ126244429 ScholiaQ126244429MaRDI QIDQ3325614FDOQ3325614

Authors:

Publication date: 1984

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178408933219

Recommendations

• General necessary conditions for partially observed optimal stochastic controls
• Optimization of stochastic diffusion systems with constraints on the control-observation process. II: Necessary conditions of optimality
• scientific article; zbMATH DE number 4014596
• Necessary Conditions of Optimization for Partially Observed Controlled Diffusions
• Publication:3485689

zbMATH Keywords

stochastic maximum principlerelaxed controlpartially observable diffusion processdiscretized observations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• A general theory of extremals
• Optimal controls for partially observed stochastic systems: an infinitesimal approach
• Adjoint processes in stochastic optimal control problems

Cited In (2)

• General necessary conditions for partially observed optimal stochastic controls
• Title not available (Why is that?)

This page was built for publication: A necessary condition for optimality in a problem of stochastic control with discretized observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3325614)