Title of article
Hamilton–Jacobi–Bellman Equations for the Optimal Control of the Duncan–Mortensen–Zakai Equation
Author/Authors
Gozzi، نويسنده , , Fausto and ?wiech، نويسنده , , Andrzej، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
45
From page
466
To page
510
Abstract
We study a class of Hamilton–Jacobi–Bellman (HJB) equations associated to stochastic optimal control of the Duncan–Mortensen–Zakai equation. The equations are investigated in weighted L2 spaces. We introduce an appropriate notion of weak (viscosity) solution of such equations and prove that the value function is the unique solution of the HJB equation. We apply the results to stochastic optimal control problems with partial observation and correlated noise.
Keywords
Hamilton–Jacobi–Bellman equations , Duncan–Mortensen–Zakai equation , optimal control of partially observed systems , viscosity solutions
Journal title
Journal of Functional Analysis
Serial Year
2000
Journal title
Journal of Functional Analysis
Record number
1549817
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