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An optimal control depending on the conditional density of the unobserved state

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Applied Stochastic Analysis

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 177))

Abstract

The optimal control of a nonlinear partially observed stochastic control system is computed through using nonlinear filtering and linear quadratic techniques.

This work was partially supported by NSF grant DMS-9105649.

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References

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Authors and Affiliations

  1. Department of Mathematics, 40506, Lexington, Kentucky

    K. L. Helmes & R. W. Rishel

Authors
  1. K. L. Helmes
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  2. R. W. Rishel
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Editor information

Ioannis Karatzas Daniel Ocone

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© 1992 Springer-Verlag

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Helmes, K.L., Rishel, R.W. (1992). An optimal control depending on the conditional density of the unobserved state. In: Karatzas, I., Ocone, D. (eds) Applied Stochastic Analysis. Lecture Notes in Control and Information Sciences, vol 177. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007054

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  • DOI: https://doi.org/10.1007/BFb0007054

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-55296-3

  • Online ISBN: 978-3-540-47017-5

  • eBook Packages: Springer Book Archive

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