Control of Partially Observed Diffusions

Robert Elliott, Hailiang Yang

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


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 languageEnglish
Pages (from-to)485-501
JournalJournal of Optimization Theory and Applications
Issue number3
Publication statusPublished - 1991
Externally publishedYes


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