Control of Partially Observed Diffusions

Robert Elliott; Hailiang Yang

doi:10.1007/BF00941399

Control of Partially Observed Diffusions

Robert Elliott
, Hailiang Yang

University of Alberta
University of Alberta

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

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 Btagovescenskii and
Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic
minimum principle.

Original language	English
Pages (from-to)	485-501
Journal	Journal of Optimization Theory and Applications
Volume	71
Issue number	3
DOIs	https://doi.org/10.1007/BF00941399
Publication status	Published - 1991
Externally published	Yes

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title = "Control of Partially Observed Diffusions",

abstract = "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 Btagovescenskii and Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic minimum principle.",

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AU - Yang, Hailiang

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N2 - 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 Btagovescenskii and Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic minimum principle.

AB - 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 Btagovescenskii and Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic minimum principle.

U2 - 10.1007/BF00941399

DO - 10.1007/BF00941399

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VL - 71

SP - 485

EP - 501

JO - Journal of Optimization Theory and Applications

JF - Journal of Optimization Theory and Applications

IS - 3

ER -

Control of Partially Observed Diffusions

Abstract

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