Borkar, Vivek S. (2005) Controlled diffusion processes Probability Surveys, 2 . pp. 213-244. ISSN 1549-5787
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Related URL: http://dx.doi.org/10.1214/154957805100000131
Abstract
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions. Stochastic maximum principle and control under partial observations (equivalently, control of nonlinear filters) are also discussed. Several other related topics are briefy sketched.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Institute of Mathematical Statistics. |
| Keywords: | Controlled DiffUsions; Optimal Control; Dynamic Programming; Hamilton-Jacobi-Bellman Equations; Partial Observations; AMS 2000 Subject Classifications: Primary 93E20; Secondary 60H30 |
| ID Code: | 81462 |
| Deposited On: | 07 Feb 2012 04:54 |
| Last Modified: | 07 Feb 2012 04:54 |
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