On the Existence of Optimal Controls for Partially Observed Diffusions

DOI10.1137/0320030zbMath0483.49010OpenAlexW2067083785MaRDI QIDQ3941934

Ulrich G. Haussmann

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1137/0320030

zbMATH Keywords

partial observationsrandomized control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20) Diffusion processes and stochastic analysis on manifolds (58J65) Existence of optimal solutions to problems involving randomness (49J55)

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An admissible systems approach to separation in partially observed stochastic control problems ⋮ Robust stochastic maximum principle for multi-model worst case optimization ⋮ The probabilistic structure of controlled diffusion processes ⋮ On the stochastic control-stopping problem ⋮ Stochastic zero-sum differential games and backward stochastic differential equations ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ Some Remark on Optimal Stochastic Control with Partial Information ⋮ Open-loop evasion strategies in a pursuit-evasion problem in a reduced state space ⋮ Evaluation of the effectiveness of open-loop evasion strategies in a pursuit-evasion problem ⋮ On stochastic relaxed control for partially observed diffusions ⋮ Random relaxed controls and partially observed stochastic systems ⋮ Existence of optimal controls for partially observed diffusions

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