The Separation Principle for Stochastic Evolution Equations

DOI10.1137/0315025zbMATH Open0359.60076OpenAlexW2037484437MaRDI QIDQ4131401FDOQ4131401

Authors: Ruth Curtain, Akira Ichikawa 

Publication date: 1977

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

Full work available at URL: https://doi.org/10.1137/0315025

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by partial differential equations (93C20) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Optimal stochastic control (93E20)

Cited In (9)

• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Filtering and controal of stochastic differential equations with unbounded coefficients
• Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
• Optimal control of partially observed systems with arbitrary dependent noises: linear quadratic case
• Controllability of linear stochastic systems in Hilbert spaces
• Recursive Filtering
• Linear stochastic evolution equations in Hilbert space
• Sensor and controller location problems for distributed parameter systems
• Quadratic control for linear periodic systems

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