On the Relation of Zakai’s and Mortensen’s Equations
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Publication:3669282
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Diffusion processes (60J60) Dynamic programming (90C39) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cited in
(12)- The probabilistic structure of controlled diffusion processes
- Mean Field Games with Partial Observation
- New explicit filters and smoothers for diffusions with nonlinear drift and measurements
- Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system
- Operational absolutely optimal dynamic control of the stochastic differential plant's state by its output
- Optimal finite-dimensional controller of the stochastic differential object's state by its output. I: Incomplete precise measurements
- Maximum likelihood estimate for discontinuous parameter in stochastic hyperbolic systems
- Filtering of diffusions controlled through their conditional measures†
- Adaptive boundary concentration control using Zakai equation
- Operational-optimal finite-dimensional dynamic controller of the stochastic differential plant's state according to its output. I: General nonlinear case
- Mean field game theory with a partially observed major agent
- Stochastic control with delayed information and related nonlinear master equation
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