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

DOI10.1016/0898-1221(86)90059-3zbMath0614.93068OpenAlexW2005588532MaRDI QIDQ4723665

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 stoppingcontrolled diffusionsBellman principleZakai's equationoptimal stochastic control problem with partial observation

Mathematics Subject Classification ID

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

Related Items (1)

Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions

Cites Work

• A uniqueness result for the semigroup associated with the Hamilton- Jacobi-Bellman operator
• Nonlinear semigroup for the unnormalized conditional density
• On nonlinear semigroups for Markov processes associated with optimal stopping
• Optimal stopping and a martingale approach to the penalty method
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Optimal Control for Partially Observed Diffusions
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
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