Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

DOI10.1080/17442508208833228zbMath0493.93047OpenAlexW1976142795WikidataQ126242834 ScholiaQ126242834MaRDI QIDQ3956832

Wendell H. Fleming, Sanjoy K. Mitter

Publication date: 1982

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/1009

zbMATH Keywords

Zakai equationdynamic programming equationpathwise filteringconnection between nonlinear filtering and optimal control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03) Existence of optimal solutions to problems involving randomness (49J55)

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Cites Work

• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• The partial differential equation u_t + uu_x = μ_xx
• Unnamed Item

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