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A martingale approach to partially observable controlled stochastic systems

  • Section I Controlled Stochastic Processes
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Stochastic Optimization

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 81))

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References

  1. R.J. Chitashvili. Martingale ideology in the theory of controlled stochastic processes. Lecture Notes in Mathematics, Vol. 1021. Springer-Verlag, Berlin, 1982.

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  2. Yu.M. Kabanov, R.Sh. Liptser and A.N. Shiryaev. Absolute continuity and singularity of absolutely continuous probability distributions. Mathematicheski Sbornik, 10(149)(1978).

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  3. J. Jacod. Calcul stochastique et problemes de martingales, Lecture Notes in Mathematics, Vol. 714. Springer-Verlag, Berlin, 1979.

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  4. R.I. Elliot. The optimal control of a stochastic system. SIAM Journal of Control and Optimization, 15 (1977).

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  5. U.G. Haussmann. On the stochastic maximum principle. SIAM Journal on Control and Optimization, 16 (1978).

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  6. M.H.A. Davis and P. Varaiya. Dynamic programming conditions for observable stochastic systems. SIAM Journal on Control and Optimization, 11 (1973).

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Vadim I. Arkin A. Shiraev R. Wets

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© 1986 International Institute for Applied Systems Analysis

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Chitashvili, R.J. (1986). A martingale approach to partially observable controlled stochastic systems. In: Arkin, V.I., Shiraev, A., Wets, R. (eds) Stochastic Optimization. Lecture Notes in Control and Information Sciences, vol 81. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007077

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  • DOI: https://doi.org/10.1007/BFb0007077

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16659-7

  • Online ISBN: 978-3-540-39841-7

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