Controlled diffusion processes
Controlled diffusion processes
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DOI：
10.1214/154957805100000131
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发表时间：
2005-09
影响因子：
1.6
通讯作者：
V. Borkar
中科院分区：
文献类型：
--
作者：
V. Borkar
本文概述了受控扩散过程的发展，强调通过动态规划的各种成本标准和结构假设的最优控制及其表征的存在的关键结果。讨论了部分观测下的随机最大值原理和控制问题（等价于非线性滤波器的控制问题）。其他几个相关的主题简要概述。
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions. Stochastic maximum principle and control under partial observations (equivalently, control of nonlinear filters) are also discussed. Several other related topics are briefly sketched.