The Partially Observed Stochastic Minimum Principle

DOI10.1137/0327065zbMath0681.93068MaRDI QIDQ4731120

John S. Baras, Michael Kohlmann, Robert J. Elliott

Publication date: 1989

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

Full work available at URL: http://hdl.handle.net/1903/4735

zbMATH Keywords

minimum principle; stochastic flows; martingale representation; adjoint process

Mathematics Subject Classification ID

93C10: Nonlinear systems in control theory

93E20: Optimal stochastic control

93C15: Control/observation systems governed by ordinary differential equations

49K45: Optimality conditions for problems involving randomness

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