On the Relation of Zakai’s and Mortensen’s Equations

DOI10.1137/0321029zbMATH Open0518.93062OpenAlexW2040128955MaRDI QIDQ3669282FDOQ3669282

Authors: Ioannis Karatzas, Václav E. Beneš 

Publication date: 1983

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0321029

zbMATH Keywords

Zakai equation of nonlinear filteringpartially observed diffusionsMortensen's equation

Mathematics Subject Classification ID

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)

• Mean Field Games with Partial Observation
• The probabilistic structure of controlled diffusion processes
• 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

This page was built for publication: On the Relation of Zakai’s and Mortensen’s Equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3669282)