Optimal Stochastic Control with Special Information Patterns

DOI10.1137/0318041MaRDI QIDQ3907516zbMATH OpenOpenAlexFDO

Authors Norbert Christopeit

Publication date 1980

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

Full work available at URL https://doi.org/10.1137/0318041

zbMATH Keywords

partially observable systemsGirsanov solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Cited in

(4)

• Evaluation of the effectiveness of open-loop evasion strategies in a pursuit-evasion problem
• Computation of suboptimal randomized strategies for steering the random motion of a point under partial observation
• Open-loop evasion strategies in a pursuit-evasion problem in a reduced state space
• Strategies using an observer for steering a random motion of a point in a multitarget environment

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