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Article: Control of partially observed diffusions
Title | Control of partially observed diffusions |
---|---|
Authors | |
Keywords | Minimum Principle Optimal Control Partially Observed Diffusions |
Issue Date | 1991 |
Publisher | Springer 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? |
Abstract | The 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 Identifier | http://hdl.handle.net/10722/172370 |
ISSN | 2023 Impact Factor: 1.6 2023 SCImago Journal Rankings: 0.864 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Elliott, RJ | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:11Z | - |
dc.date.available | 2012-10-30T06:22:11Z | - |
dc.date.issued | 1991 | en_US |
dc.identifier.citation | Journal Of Optimization Theory And Applications, 1991, v. 71 n. 3, p. 485-501 | en_US |
dc.identifier.issn | 0022-3239 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172370 | - |
dc.description.abstract | The 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.language | eng | en_US |
dc.publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239 | en_US |
dc.relation.ispartof | Journal of Optimization Theory and Applications | en_US |
dc.subject | Minimum Principle | en_US |
dc.subject | Optimal Control | en_US |
dc.subject | Partially Observed Diffusions | en_US |
dc.title | Control of partially observed diffusions | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1007/BF00941399 | en_US |
dc.identifier.scopus | eid_2-s2.0-0026374716 | en_US |
dc.identifier.volume | 71 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 485 | en_US |
dc.identifier.epage | 501 | en_US |
dc.identifier.isi | WOS:A1991GT50200003 | - |
dc.publisher.place | United States | en_US |
dc.identifier.scopusauthorid | Elliott, RJ=7402639776 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.issnl | 0022-3239 | - |