Existence of an Optimal Markovian Filter for the Control under Partial Observations

DOI10.1137/0326057zbMath0657.60063OpenAlexW2032141590MaRDI QIDQ3805564

Nguyen Huu Du, Nicole El Karoui, Monique Jeanblanc-Picqué

Publication date: 1988

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0326057

zbMATH Keywords

optimal control problemoptimal filterKushner-Stratonovitch equationoptimal Markovian filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

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