Stochastic control of partially observable systems
- Cambridge : Cambridge University Press, 1992.
- 352 p.
1. Linear filtering theory;2. Optimal stochastic control for linear dynamic systems with quadratic payoff;3. Optimal control of linear stochastic systems with an exponential-of-integral performance index;4. Non linear filtering theory;5. Perturbation methods in non linear filtering;6. Some explicit solutions of the Zakai equation;7. Some explicit controls for systems with partial information when ... is bounded;8. Stochastic maximum principle and dynamic programming for systems with partial observation;9. Existence results for stochastic control problems with partial information