Article1989

The Partially Observed Stochastic Minimum Principle

John S. Baras · Robert James Elliott · Michael Kohlmann

61 citations0/0 files storedSIAM Journal on Control and Optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Optimization and Variational Analysis Stability and Controllability of Differential Equations

Abstract

Using stochastic flows and the generalized differentiation formula of Bismut and Kunita, the change in cost due to a strong variation of an optimal control is explicitly calculated. Differentiating this expression gives a minimum principle in both the partially observed and stochastic open loop situations. In the latter case the equation satisfied by the adjoint process is obtained by applying a martingale representation result.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 61 citations exist upstream.

References

1980Controlled Diffusion Processes 1978An Introductory Approach to Duality in Optimal Stochastic Control 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions 1976General necessary conditions for optimal control of stochastic systems 1981On the decomposition of solutions of stochastic differential equations 1981A generalized formula of Ito and some other properties of stochastic flows

Cited by

1995General necessary conditions for partially observed optimal stochastic controls 2010Maximum Principle for Partially-Observed Optimal Control of Fully-Coupled Forward-Backward Stochastic Systems 1990The optimal control of diffusions 2009General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance 2010Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls 2005Bounded Variation Singular Stochastic Control and Dynkin Game 2020An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.