L'équation de Zakai et le problème séparé du contrôle optimal stochastique

Ulrich G. Haussmann

Séminaire de probabilités de Strasbourg (1985)

  • Volume: 19, page 37-62

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Haussmann, Ulrich G.. "L'équation de Zakai et le problème séparé du contrôle optimal stochastique." Séminaire de probabilités de Strasbourg 19 (1985): 37-62. <http://eudml.org/doc/113534>.

@article{Haussmann1985,
author = {Haussmann, Ulrich G.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {partially observed control problem; Zakai's equation; mild regularity and boundedness hypotheses; existence of a solution},
language = {fre},
pages = {37-62},
publisher = {Springer - Lecture Notes in Mathematics},
title = {L'équation de Zakai et le problème séparé du contrôle optimal stochastique},
url = {http://eudml.org/doc/113534},
volume = {19},
year = {1985},
}

TY - JOUR
AU - Haussmann, Ulrich G.
TI - L'équation de Zakai et le problème séparé du contrôle optimal stochastique
JO - Séminaire de probabilités de Strasbourg
PY - 1985
PB - Springer - Lecture Notes in Mathematics
VL - 19
SP - 37
EP - 62
LA - fre
KW - partially observed control problem; Zakai's equation; mild regularity and boundedness hypotheses; existence of a solution
UR - http://eudml.org/doc/113534
ER -

References

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  2. [2] J.S. Baras, G.L. Blankenship et S.K. Mitter. Non linear filtering of diffusion processes, Proc. IFAC Congr., Kyoto, Japan, 1981. Zbl0522.93059
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  10. [10] E. Pardoux. Equation du filtrage non linéaire de la prédiction et du lissage, Stochastics, 6 (1982), 193 - 231. Zbl0491.93062MR665400
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  12. [12] S.J. Sheu. Solutions of certain parabolic equations with unbounded coefficients and its application to nonlinear filtering, Stochastics, 10 (1983), 31 - 46. Zbl0533.60068MR714706
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