The optimal control of a partially observed diffusion is discussed when the control parameter is present in both the drift and diffusion coefficients. Using a differentiation result of Blagovescenskii and Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic minimum principle. © 1991 Plenum Publishing Corporation.link_to_subscribed_fulltex
The problem of forcing a nondegenerate diffusion process to a given final configuration is considere...
Multi-dimensional Stochastic Differential Equations (SDEs) are a powerful tool to describe dynamics ...
The adjoint and minimum principle for a partially observed diffusion can be obtained by differentiat...
Various proofs have been given of the minimum principle satisfied by an optimal control in a partial...
Necessary conditions are derived for stochastic partially observed control problems when the control...
Existence of optimal controls for partially observed diffusions is established for a suitably define...
This article gives an overview of the developments in controlled diffusion processes, emphasizing ke...
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The problem of controlling a partially observed diffusion process is studied when the cost structure...
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This paper provides new insights into the solution of optimal stochastic control problems by means o...
The partially observed optimal control problem is considered for forward-backward doubly stochastic ...
The original publication is available at www.springerlink.comThis paper provides new insights into t...
In this paper, we study an optimal control problem of partially observed mean-field type stochastic ...
We give a short introduction to some of the theory and methods involved in stochastic control with p...
The problem of forcing a nondegenerate diffusion process to a given final configuration is considere...
Multi-dimensional Stochastic Differential Equations (SDEs) are a powerful tool to describe dynamics ...
The adjoint and minimum principle for a partially observed diffusion can be obtained by differentiat...
Various proofs have been given of the minimum principle satisfied by an optimal control in a partial...
Necessary conditions are derived for stochastic partially observed control problems when the control...
Existence of optimal controls for partially observed diffusions is established for a suitably define...
This article gives an overview of the developments in controlled diffusion processes, emphasizing ke...
We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of...
The problem of controlling a partially observed diffusion process is studied when the cost structure...
This paper provides new insights into the solution of optimal stochastic control problems by means o...
This paper provides new insights into the solution of optimal stochastic control problems by means o...
The partially observed optimal control problem is considered for forward-backward doubly stochastic ...
The original publication is available at www.springerlink.comThis paper provides new insights into t...
In this paper, we study an optimal control problem of partially observed mean-field type stochastic ...
We give a short introduction to some of the theory and methods involved in stochastic control with p...
The problem of forcing a nondegenerate diffusion process to a given final configuration is considere...
Multi-dimensional Stochastic Differential Equations (SDEs) are a powerful tool to describe dynamics ...
The adjoint and minimum principle for a partially observed diffusion can be obtained by differentiat...