On an optimum principle for partially observed controlled jump Markovian processes
van Huu Nguyen (1981)
Kybernetika
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van Huu Nguyen (1981)
Kybernetika
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Petr Mandl, Ma.Rosario Romera Ayllón (1987)
Kybernetika
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Jozef Komorník (1980)
Kybernetika
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Ocone, Daniel, Weerasinghe, Ananda (2003)
Electronic Journal of Probability [electronic only]
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Bahlali, Seïd, Mezerdi, Brahim, Djehiche, Boualem (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Marina L. Kleptsyna, Alain Le Breton, Michel Viot (2008)
ESAIM: Probability and Statistics
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In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, , the optimal control separates into two stages based...
Jack, Andrew, Zervos, Mihail (2006)
Journal of Applied Mathematics and Stochastic Analysis
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