Nonlinear semigroup arising in the control of diffusions with partial observation

DOI10.1080/17442509008833630zbMath0701.60032OpenAlexW1994363406MaRDI QIDQ3479304

Makiko Nisio, Alain Bensoussan

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833630

zbMATH Keywords

dynamic programmingstochastic controlBellman principlecontrol of diffusions with partial observation

Mathematics Subject Classification ID

Dynamic programming (90C39) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Related Items (4)

Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ A class of semilinear stochastic partial differential equations and their controls: Existence results ⋮ Controlled partially observed diffusions with correlated noise ⋮ Random relaxed controls and partially observed stochastic systems

Cites Work

• Unnamed Item
• On the existence of optimal control for controlled stochastic partial differential equations
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Stochastic partial differential equations and filtering of diffusion processes
• Nonlinear Semigroup for Controlled Partially Observed Diffusions
• Optimal Control for Partially Observed Diffusions
• On stochastic relaxed control for partially observed diffusions

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