Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

1 January 1983

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 9 (3) , 169-222
https://doi.org/10.1080/17442508308833253

Abstract

This paper concerns control of partially observable diffusions. The problem is formulated as a control problem with full information, but for the Zakai equation of nonlinear filtering. A maximum principle is derived and a treatment of the problem from the point of view of nonlinear semigroup is given.

Keywords

DYNAMIC PROGRAMMING
OPTIMAL CONTROL
OBSERVED DIFFUSIONS
MAXIMUM PRINCIPLE
PARTIALLY OBSERVED
PROGRAMMING APPROACHES

This publication has 2 references indexed in Scilit:

A minimum principle for stochastic control problems with output feedback
Systems & Control Letters, 1981
On a Non-Linear Semi-Group Attached to Stochastic Optimal Control
Publications of the Research Institute for Mathematical Sciences, 1976