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Article: Control of partially observed diffusions

TitleControl of partially observed diffusions
Authors
KeywordsMinimum Principle
Optimal Control
Partially Observed Diffusions
Issue Date1991
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239
Citation
Journal Of Optimization Theory And Applications, 1991, v. 71 n. 3, p. 485-501 How to Cite?
AbstractThe optimal control of a partially observed diffusion is discussed when the control parameter is present in both the drift and diffusion coefficients. Using a differentiation result of Blagovescenskii and Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic minimum principle. © 1991 Plenum Publishing Corporation.
Persistent Identifierhttp://hdl.handle.net/10722/172370
ISSN
2015 Impact Factor: 1.16
2015 SCImago Journal Rankings: 0.898
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorElliott, RJen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2012-10-30T06:22:11Z-
dc.date.available2012-10-30T06:22:11Z-
dc.date.issued1991en_US
dc.identifier.citationJournal Of Optimization Theory And Applications, 1991, v. 71 n. 3, p. 485-501en_US
dc.identifier.issn0022-3239en_US
dc.identifier.urihttp://hdl.handle.net/10722/172370-
dc.description.abstractThe optimal control of a partially observed diffusion is discussed when the control parameter is present in both the drift and diffusion coefficients. Using a differentiation result of Blagovescenskii and Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic minimum principle. © 1991 Plenum Publishing Corporation.en_US
dc.languageengen_US
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239en_US
dc.relation.ispartofJournal of Optimization Theory and Applicationsen_US
dc.subjectMinimum Principleen_US
dc.subjectOptimal Controlen_US
dc.subjectPartially Observed Diffusionsen_US
dc.titleControl of partially observed diffusionsen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1007/BF00941399en_US
dc.identifier.scopuseid_2-s2.0-0026374716en_US
dc.identifier.volume71en_US
dc.identifier.issue3en_US
dc.identifier.spage485en_US
dc.identifier.epage501en_US
dc.identifier.isiWOS:A1991GT50200003-
dc.publisher.placeUnited Statesen_US
dc.identifier.scopusauthoridElliott, RJ=7402639776en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US

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