Controlled partially observed diffusions with correlated noise

DOI10.1007/BF01447331zbMATH Open0714.93064MaRDI QIDQ751613FDOQ751613

Q. Zhang

Publication date: 1990

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

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zbMATH Keywords

partial observationscontrolled diffusioncorrelated additive white noiseNisio nonlinear semigroup

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

Cites Work

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• On stochastic relaxed control for partially observed diffusions
• Optimal adaptive LQG control for systems with finite state process parameters
• Optimal Control for Partially Observed Diffusions
• A note on a nonlinear semigroup for controlled partially observed diffusions
• Nonlinear semigroup arising in the control of diffusions with partial observation
• An Exact Formula for a Linear Quadratic Adaptive Stochastic Optimal Control Law
• Nonlinear Semigroup for Controlled Partially Observed Diffusions

Cited In (9)

• A stochastic maximum principle for partially observed stochastic control systems with delay
• Nonlinear semigroup arising in the control of diffusions with partial observation
• A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
• Title not available (Why is that?)
• Leader-follower stochastic differential game with asymmetric information and applications
• A note on a nonlinear semigroup for controlled partially observed diffusions
• The nisio semigroup for controlled diffusions with partial observations
• Nonlinear semigroup for the unnormalized conditional density
• A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle

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