Article1982

Nonlinear Semigroup for Controlled Partially Observed Diffusions

41 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Stability and Controllability of Differential Equations Adaptive Dynamic Programming Control

Abstract

In this paper a “separated” control problem associated with controlled, partially observed diffusion processes is considered. The state in the separated problem is an unnormalized conditional distribution measure. The corresponding Nisio nonlinear semigroup associated with the separated problem is found.

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References

1982Optimal Control for Partially Observed Diffusions 1976On a Non-Linear Semi-Group Attached to Stochastic Optimal Control

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1999Stochastic Analysis, Control, Optimization and Applications 2007Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control 2019Mean Field Games with Partial Observation 1986An Exact Formula for a Linear Quadratic Adaptive Stochastic Optimal Control Law

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