Dynamic Programming Conditions for Partially Observable Stochastic Systems

From MaRDI portal
Publication:5675611

DOI10.1137/0311020zbMath0258.93029OpenAlexW2067726964WikidataQ56814053 ScholiaQ56814053MaRDI QIDQ5675611

Mark H. A. Davis, Pravin P. Varaiya

Publication date: 1973

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

Full work available at URL: https://semanticscholar.org/paper/37d6ee0f9076487526c6cc358b8ac627bc001ba2




Related Items (71)

A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.A partial history of the early development of continuous-time nonlinear stochastic systems theoryThe probabilistic structure of controlled diffusion processesUnnamed ItemThe optimal control of diffusionsDecentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformationOptimal compensation with hidden action and lump-sum payment in a continuous-time modelControl problem for diffusion-type random fieldsOptimal switching problems of tandem typeOn the stochastic control-stopping problemZero-sum path-dependent stochastic differential games in weak formulationGeometry of information structures, strategic measures and associated stochastic control topologiesSimulation-based optimization of Markov decision processes: an empirical process theory approachOptimal locally absolutely continuous change of measure. finite set of decisions. part iConjugate convex functions in optimal stochastic controlOptimal stopping of continuous time stochastic processes and stochastic differential representations for the value functionsYoung, timid, and risk takersEncounters with Martingales in Stochastic ControlDissipative stochastic dynamical systemsOptimality criteria for controlled discontinuous processesOperational absolutely optimal dynamic control of the stochastic differential plant's state by its outputOptimal finite-dimensional controller of the stochastic differential object's state by its output. I: Incomplete precise measurementsStochastic control by measure transformation: A general existence resultOn the optimal control of stochastic systems with an exponential-of- integral performance indexOptimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problemsSequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurementNash-equilibrium in stochastic differential gamesNonanticipative risk sensitive control: the martingale method.Existence and uniqueness results for BSDE with jumps: the whole nine yardsTransaction costs, trading volume, and the liquidity premiumUnnamed ItemApplication of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic systemOptimal compensation with adverse selection and dynamic actionsAn invariance principle in large population stochastic dynamic gamesMartingale approach to stochastic differential games of control and stoppingLagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionalsZero-sum stochastic differential games and backward equationsThe optimal investment, liability and dividends in insuranceOptimal control of semi-Markov processes with a backward stochastic differential equations approachAdjoint processes in stochastic optimal control problemsA necessary condition for optimality in a problem of stochastic control with discretized observationsOptimal control of a jump processBackward stochastic partial differential equations related to utility maximization and hedgingA stochastic minimum principleOn the existence of solutions to stochastic differential equations on Loeb spacesThe limits of leverageFinite-dimensional attainable sets for stochastic control systemsOptimal control of diffusion processes with reflectionStochastic control of system with unobserved jump parameter processOn the separation principle with bounded controlsRisk-Sensitive Mean-Field Type Control Under Partial ObservationExit probabilities and optimal stochastic controlA unified approach to well-posedness of type-I backward stochastic Volterra integral equationsDynamic programming optimality criteria for stochastic systems in Riemannian manifoldsTechniques probabilistes dans le contrôle impulsionnelThe value function in ergodic control of diffusion processes with partial observationsSingular stochastic control and optimal stoppingStrong envelopes of stochastic processes and a penalty methodStrategies using an observer for steering a random motion of a point in a multitarget environmentComputation of suboptimal randomized strategies for steering the random motion of a point under partial observationOptimal contracting under mean-volatility joint ambiguity uncertaintiesBang-bang partially observable feedback strategies for a rendezvous problem†Separation principle for impulse control with partial informationDynamic programming for ergodic control with partial observations.BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.Local optimality conditions for optimal stoppingLeast-squares state estimation of systems with state-dependent observation noisePortfolio optimization for an investor with a benchmarkInterview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuriesLagrange approach to the optimal control of diffusionsForward and backward semimartingale models for gaussian processes with stationary increments




This page was built for publication: Dynamic Programming Conditions for Partially Observable Stochastic Systems