The Maximum Principle for Optimal Control of Diffusions with Partial Information
DOI10.1137/0325021zbMATH Open0617.93077OpenAlexW2073650727MaRDI QIDQ3754547FDOQ3754547
Publication date: 1987
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0325021
maximum principlenecessary conditionspartial observationsadjoint processnonlinear filteringcontrolled diffusions
Filtering in stochastic control theory (93E11) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)
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- LQ control of Itô stochastic system with asymmetric information
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- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Stochastic adaptive control with small observation noise
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- An efficient numerical algorithm for solving data driven feedback control problems
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- Information Relaxation and Dual Formulation of Controlled Markov Diffusions
- Control of partially observed diffusions
- A general maximum principle for optimal control of forward-backward stochastic systems
- A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- Risk-Sensitive Mean-Field Type Control Under Partial Observation
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