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Article: Control of partially observed diffusions

TitleControl of partially observed diffusions
Authors
Elliott, RJYang, H
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?
DOI: http://dx.doi.org/10.1007/BF00941399
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
0022-3239
2023 Impact Factor: 1.6
2023 SCImago Journal Rankings: 0.864
ISI Accession Number ID
WOS:A1991GT50200003

 

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
dc.identifier.issnl0022-3239-

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