Some Remark on Optimal Stochastic Control with Partial Information

DOI10.1080/07362990500292783MaRDI QIDQ5707913zbMATH OpenOpenAlexFDO

Authors Fouzia Baghery, Isabelle Turpin, Youssef Ouknine

Publication date 25 November 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990500292783

zbMATH Keywords

stochastic controlviscosity solutionsZakai equationstochastic flow

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Hamilton-Jacobi equations in infinite dimensions. I: Uniqueness of viscosity solutions
• Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Nonlinear Semigroup for Controlled Partially Observed Diffusions
• Nonlinear semigroup for the unnormalized conditional density
• On stochastic relaxed control for partially observed diffusions
• On the Existence of Optimal Controls for Partially Observed Diffusions
• Optimal Control for Partially Observed Diffusions
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Partially Observed Diffusions and Their Control
• Partially observed control of Markov processes. III
• Stochastic partial differential equations and filtering of diffusion processes

Cited in

(6)

• On stochastic incentive control problems with partial dynamic information
• Finite Horizon Control Problems Under Partial Information
• scientific article; zbMATH DE number 4014596 (Why is no real title available?)
• Mean field approach to stochastic control with partial information
• On optimal correction problems with partial information
• scientific article; zbMATH DE number 4001106 (Why is no real title available?)

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