General necessary conditions for partially observed optimal stochastic controls
1995 ◽
Vol 32
(04)
◽
pp. 1118-1137
◽
Keyword(s):
The partially observed control problem is considered for stochastic processes with control entering into the diffusion and the observation. The maximum principle is proved for the partially observable optimal control. A pure probabilistic approach is used, and the adjoint processes are characterized as solutions of related backward stochastic differential equations in finite-dimensional spaces. Most of the derivation is identified with that of the completely observable case.
1995 ◽
Vol 32
(4)
◽
pp. 1118-1137
◽
Keyword(s):
2016 ◽
Vol 21
(1)
◽
pp. 28-39
2009 ◽
Vol 06
(07)
◽
pp. 1221-1233
◽
2011 ◽
Vol 24
(6)
◽
pp. 1083-1099
◽
Keyword(s):
2014 ◽
Vol 69
(5-6)
◽
pp. 225-231
◽
1998 ◽
Vol 36
(5)
◽
pp. 1596-1617
◽
1994 ◽
Vol 36
(2)
◽
pp. 194-212
2014 ◽
Vol 25
(2)
◽
pp. 158-168
◽
Keyword(s):