The Maximum Principle for Optimal Control of Diffusions with Partial Information
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Publication:3754547
DOI10.1137/0325021zbMath0617.93077OpenAlexW2073650727MaRDI QIDQ3754547
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 principlenonlinear filteringnecessary conditionscontrolled diffusionspartial observationsadjoint process
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)
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