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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  1. [1] J.S. Baras, G.L. Blankenship et W.E. Hopkins. Existence, uniqueness and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients, IEEE Trans. A.C., 28(1983), 203-214. Zbl0535.93063MR711678
  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
  3. [3] V.E. Benes et I. Karatzas. On the relation of Zakai's equation and Mortensen's equation, SIAM J. Control and Optimization, 21 (1983), 472 - 489. Zbl0518.93062MR696909
  4. [4] A. Bensoussan. Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions, Stochastics, 9 (1983), 169 - 222. Zbl0516.60072MR705471
  5. [5] A. Bensoussan et J.L. Lions. Applications des Inéquations Variationnelles en Contrôle Stochastique, Dunod, Paris, 1978. Zbl0411.49002MR513618
  6. [6] G.S. Ferreyra. The robust equation of non linear filtering, preprint, Dept. of Mathematics, Louisiana State University. MR788001
  7. [7] W.H. Fleming et R.W. Rishel. Deterministic and Stochastic Optimal Control, Springer-Verlag, New York, 1975. Zbl0323.49001MR454768
  8. [8] U.G. Haussmann. Optimal control of partially observed diffusions via the separation principle, Stochastic Differential Systems,Lecture Notes in Control and Information Sciences, Vol. 43 (1982), 302-311 . Zbl0523.93065MR814127
  9. [9] G. Kallianpur et R.L. Karandikar. A finitely additive white noise approach to nonlinear filtering, Appl.Math. Optim, 10 (1983), 159 - 185. Zbl0525.93063MR707547
  10. [10] E. Pardoux. Equation du filtrage non linéaire de la prédiction et du lissage, Stochastics, 6 (1982), 193 - 231. Zbl0491.93062MR665400
  11. [11] E. Pardoux. Stochastic partial differential equations and filtering of diffusion processes, Stochastics, 3 (1979), 127 - 167. Zbl0424.60067MR553909
  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
  13. [13] D. Stroock et S.R.S. Varadhan. Multidimensional Diffusion Processes, Springer - Verlag, 1979. Zbl0426.60069MR532498

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