Nonlinear Semigroup for Controlled Partially Observed Diffusions

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 1982 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control and Optimization, volume 20, pages 286-301 (issn: 0363-0129, eissn: 1095-7138,

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Authors: Fleming, Wendell H.;

doi: 10.1137/0320022

Nonlinear Semigroup for Controlled Partially Observed Diffusions

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Abstract

In this paper a “separated” control problem associated with controlled, partially observed diffusion processes is considered. The state in the separated problem is an unnormalized conditional distribution measure. The corresponding Nisio nonlinear semigroup associated with the separated problem is found.

Keywords

Stochastic partial differential equations (aspects of stochastic analysis), nonlinear semigroups, Optimal stochastic control, stochastic control, Semigroups of nonlinear operators, partially observed diffusions

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