The variational principle for optimal control of diffusions with partial information

DOI10.1016/0167-6911(89)90097-2MaRDI QIDQ1825430zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Michael Kohlmann

Publication date 1989

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(89)90097-2

zbMATH Keywords

minimum principlestochastic diffusion equations\(\epsilon \) -optimal controlStrong variations

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonsmooth analysis (49J52) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 3837104 (Why is no real title available?)
• scientific article; zbMATH DE number 3839057 (Why is no real title available?)
• On the variational principle
• The variational principle and stochastic optimal control

Cited in

(13)

• A Characterization of Approximate Solutions of Multiobjective Stochastic Optimal Control Problems
• A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
• Evaluation of the effectiveness of open-loop evasion strategies in a pursuit-evasion problem
• A risk-sensitive maximum principle
• The optimal control of diffusions
• scientific article; zbMATH DE number 5164386 (Why is no real title available?)
• Risk-sensitivity, large deviations and stochastic control
• Variational and optimal control representations of conditioned and driven processes
• Solution to the variation problem for information path functional of a controlled random process
• Information Relaxation and Dual Formulation of Controlled Markov Diffusions
• A Maximum Principle for Stochastic Control with Partial Information
• Control of partially observed diffusions
• Open-loop evasion strategies in a pursuit-evasion problem in a reduced state space

This page was built for publication: The variational principle for optimal control of diffusions with partial information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1825430)