TY - JOUR
T1 - Partially Observable Stochastic Optimal Control
JO - International Journal of Numerical Analysis and Modeling
VL - 4
SP - 493
EP - 512
PY - 2016
DA - 2016/07
SN - 13
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/ijnam/449.html
KW - Branching particle system, forward-backward stochastic differential equation, numerical approximation, maximum principle, stochastic filtering.
AB - <p style="text-align: justify;">This paper is a survey on some recent results in optimal control and stochastic
filtering. The goal is not to cover all recent developments in control and filtering, instead we
focus on maximum principle for optimality of partial information backward or forward-backward
stochastic differential equations and branching particle approximation of nonlinear filtering.</p>