Volume 13, Issue 4
Partially Observable Stochastic Optimal Control

G.-C. Wang, J. Xiong & S.-Q. Zhang


Int. J. Numer. Anal. Mod., 13 (2016), pp. 493-512

Published online: 2016-07

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  • Abstract

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.

  • Keywords

Branching particle system forward-backward stochastic differential equation numerical approximation maximum principle stochastic filtering

  • AMS Subject Headings

60H10 60H35 91B28 93E11 93E20

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COPYRIGHT: © Global Science Press

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