On stochastic relaxed control for partially observed diffusions
1984 ◽
Vol 93
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pp. 71-108
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Keyword(s):
In this paper we are concerned with stochastic relaxed control problems of the following kind. Let X(t), t ≥ 0, denote the state of a process being controlled, Y(t), t ≥ 0, the observation process and p(t, ·) a relaxed control, that is a process with values probability measures on the control region Г. The state and observation processes are governed by stochastic differential equationsandwhere B and W are independent Brownian motions with values in Rn and Rm respectively, (put m = 1 for simplicity).
2013 ◽
Vol 51
(4)
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pp. 2809-2838
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1998 ◽
Vol 36
(5)
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pp. 1596-1617
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1986 ◽
Vol 23
(2)
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pp. 199-220
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2011 ◽
Vol 43
(02)
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pp. 572-596
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