The Maximum Principle for Optimal Control of Diffusions with Partial Information

DOI10.1137/0325021MaRDI QIDQ3754547zbMATHOpenAlexFDO

Authors Ulrich G. Haussmann

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

zbMATH Keywords

maximum principlenecessary conditionspartial observationsadjoint processnonlinear filteringcontrolled diffusions

Mathematics Subject Classification ID

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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