The problem of controlling a partially observed diffusion process is studied when the cost structure has the form of an integral up to the first exit time from a bounded domain. A modified Zakai equation and the associated separated control problem are derived. An existence result for an optimal wide sense admissible control rule is sketched by analogy with the known 'finite time horizon' case
Necessary conditions are derived for stochastic partially observed control problems when the control...
Existence of stable optimal Markov controls is established for a class of cost functions for control...
The problem of ergodic control of a reflecting diffusion in a compact domain is analysed under the c...
The problem of controlling a partially observed diffusion process is studied when the cost structure...
Existence of optimal controls for partially observed diffusions is established for a suitably define...
The optimal control of a partially observed diffusion is discussed when the control parameter is pre...
AbstractWe treat optimal stopping problems of controlled diffusions under partial observation. Two k...
This article gives an overview of the developments in controlled diffusion processes, emphasizing ke...
The value function for ergodic control of a class of partially observed diffusions is shown to exist...
The problem of minimizing the ergodic or time-averaged cost for a controlled diffusion with partial ...
Various proofs have been given of the minimum principle satisfied by an optimal control in a partial...
This paper considers control of nondegenerate diffusions in a bounded domain with a cost associated ...
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in wh...
The present paper deals with an optimal control problem in controlled diffusion processes with stopp...
Abstract. We study a stochastic control problem for the optimization of observations in a partially ...
Necessary conditions are derived for stochastic partially observed control problems when the control...
Existence of stable optimal Markov controls is established for a class of cost functions for control...
The problem of ergodic control of a reflecting diffusion in a compact domain is analysed under the c...
The problem of controlling a partially observed diffusion process is studied when the cost structure...
Existence of optimal controls for partially observed diffusions is established for a suitably define...
The optimal control of a partially observed diffusion is discussed when the control parameter is pre...
AbstractWe treat optimal stopping problems of controlled diffusions under partial observation. Two k...
This article gives an overview of the developments in controlled diffusion processes, emphasizing ke...
The value function for ergodic control of a class of partially observed diffusions is shown to exist...
The problem of minimizing the ergodic or time-averaged cost for a controlled diffusion with partial ...
Various proofs have been given of the minimum principle satisfied by an optimal control in a partial...
This paper considers control of nondegenerate diffusions in a bounded domain with a cost associated ...
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in wh...
The present paper deals with an optimal control problem in controlled diffusion processes with stopp...
Abstract. We study a stochastic control problem for the optimization of observations in a partially ...
Necessary conditions are derived for stochastic partially observed control problems when the control...
Existence of stable optimal Markov controls is established for a class of cost functions for control...
The problem of ergodic control of a reflecting diffusion in a compact domain is analysed under the c...
DOI
Add to ORKG