The Separation Principle in Stochastic Control via Girsanov Solutions
From MaRDI portal
Publication:4085595
DOI10.1137/0314015zbMath0322.93037OpenAlexW2004559891MaRDI QIDQ4085595
Publication date: 1976
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0314015
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)
Related Items
Optimal control for a class of partially observable systems†, Innovation projections of a jump process and local martingales, Le principe de separation pour le probleme de temps d'arret optimal, On the separation principle with bounded controls, Examples of optimal control for partially observable systems:comparison, classical, and martingale methods, Separation principle for impulse control with partial information, Existence of optimal controls for partially observed linear diffusions, Further results on asset pricing with incomplete information