On stochastic relaxed control for partially observed diffusions
- 1 March 1984
- journal article
- research article
- Published by Cambridge University Press (CUP) in Nagoya Mathematical Journal
- Vol. 93, 71-108
- https://doi.org/10.1017/s0027763000020742
Abstract
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).This publication has 1 reference indexed in Scilit:
- On the Computation of the Reachable/Observable Canonical FormSIAM Journal on Control and Optimization, 1982