Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation

DOI10.1016/0898-1221(86)90059-3MaRDI QIDQ4723665zbMATH OpenOpenAlexFDO

Authors Yasuhiro Fujita, Makiko Nisio

Publication date 1986

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(86)90059-3

zbMATH Keywords

optimal stoppingBellman principlecontrolled diffusionsZakai's equationoptimal stochastic control problem with partial observation

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming (90C39) Semigroups of nonlinear operators (47H20) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(8)

• scientific article; zbMATH DE number 1254160 (Why is no real title available?)
• Nonlinear semigroup arising in the control of diffusions with partial observation
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• A note on a nonlinear semigroup for controlled partially observed diffusions
• The nisio semigroup for controlled diffusions with partial observations
• scientific article; zbMATH DE number 3924659 (Why is no real title available?)
• scientific article; zbMATH DE number 3925901 (Why is no real title available?)
• Nonlinear semigroup for the unnormalized conditional density

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