The Partially Observed Stochastic Minimum Principle

DOI10.1137/0327065MaRDI QIDQ4731120zbMATH OpenOpenAlexFDO

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

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

adjoint processmartingale representationminimum principlestochastic flows

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

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• Risk-Sensitive Mean-Field Type Control Under Partial Observation
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• Stochastic Flows and Jump-Diffusions
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• Partially observed risk-sensitive stochastic control problems with non-convexity restriction
• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
• Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
• Malliavin derivative of Teugels martingales and mean-field type stochastic maximum principle
• A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
• Partially observable optimal control using exponential cost criterion
• Assimilating partial observation to enhance feedback control of stochastic dynamical systems
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• Numerical approximations for partially observed optimal control of stochastic partial differential equations
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