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1. |
Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions |
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Stochastics,
Volume 9,
Issue 3,
1983,
Page 169-222
A. Bensoussan,
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PDF (1293KB)
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摘要:
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.
ISSN:0090-9491
DOI:10.1080/17442508308833253
出版商:Gordon and Breach Science Publishers Inc,
年代:1983
数据来源: Taylor
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2. |
Mixing markovian laws; with an application to path decompositions† |
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Stochastics,
Volume 9,
Issue 3,
1983,
Page 223-231
P. Salminen,
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PDF (303KB)
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摘要:
Let {Pα,αεI} be a family or Markovian laws over some measurable space, and let μ be a probability measure on I. In this paper we give a simple condition which ensures that the mixed law ∫μ(dα)Pαis Markovian. Mixing is then used to derive generalizations to J. Pitman's 2M–Xtheorem and D. Williams' path decomposition theorem.
ISSN:0090-9491
DOI:10.1080/17442508308833254
出版商:Gordon and Breach Science Publishers Inc,
年代:1983
数据来源: Taylor
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3. |
Editorial board |
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Stochastics,
Volume 9,
Issue 3,
1983,
Page -
Preview
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PDF (26KB)
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ISSN:0090-9491
DOI:10.1080/17442508308833252
出版商:Gordon and Breach Science Publishers S. A.
年代:1983
数据来源: Taylor
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