Optimal control of LQ problem with anticipative partial observations

DOI10.1016/J.EJCON.2024.101095MaRDI QIDQ6607540zbMATH OpenFDO

Authors Jize Li, Yonghui Zhou

Publication date 18 September 2024

Published in European Journal of Control (Search for Journal in Brave)

zbMATH Keywords

enlargement of filtrationRiccati equationlinear filteringmartingale representation theoremanticipative LQ problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)

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