Examples of optimal control for partially observable systems:comparison, classical, and martingale methods

DOI10.1080/17442508108833173zbMath0467.93070OpenAlexW2035582493MaRDI QIDQ3921124

Ioannis Karatzas, Václav E. Beneš

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833173

zbMATH Keywords

dynamic programmingstochastic controlseparation principlefiltermartingale approachoptimal feedback lawoptimal feedbackKalman-Bucy

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items

Estimation and control for linear, partially observable systems with non- Gaussian initial distribution, Separation principle for impulse control with partial information, Existence of optimal controls for partially observed linear diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Information states for linear stochastic systems
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• The Separation Principle in Stochastic Control via Girsanov Solutions
• Composition and invariance methods for solving some stochastic control problems
• On “predicted miss” stochastic control problems
• On the Separation Theorem of Stochastic Control
• Some Extensions of the Innovations Theorem*