Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws

DOI10.1137/S0363012995287326zbMATH Open0915.93070OpenAlexW1999486247MaRDI QIDQ4388923FDOQ4388923

Authors: Robert J. Elliott, Charalambos D. Charalambous 

Publication date: 10 May 1998

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

Full work available at URL: https://doi.org/10.1137/s0363012995287326

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zbMATH Keywords

stochastic controlnonlinear filteringrisk-sensitivesector bounded nonlinearitiespartially observable stochastic controlexact optimal controls

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Cited In (8)

• On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems
• Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
• Title not available (Why is that?)
• New explicit filters and smoothers for diffusions with nonlinear drift and measurements
• Connections between stochastic control and dynamic games
• An efficient numerical algorithm for solving data driven feedback control problems
• Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
• A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle

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