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

DOI10.1080/00207178408933219MaRDI QIDQ3325614zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• A general theory of extremals
• Adjoint processes in stochastic optimal control problems
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Optimal controls for partially observed stochastic systems: an infinitesimal approach

Cited in

(2)

• General necessary conditions for partially observed optimal stochastic controls
• scientific article; zbMATH DE number 3974877 (Why is no real title available?)

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