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

DOI10.1016/0898-1221(86)90059-3zbMATH Open0614.93068OpenAlexW2005588532MaRDI QIDQ4723665FDOQ4723665

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

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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)

Cites Work

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Cited In (8)

• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonlinear semigroup for the unnormalized conditional density

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