Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem-Reference-Cited by-同舟云学术

Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem

Published:2019-02 Issue:2 Volume:129 Page:674-711
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bandini Elena,Cosso Andrea,Fuhrman Marco,Pham Huyên

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference41 articles.

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4. Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach;Bandini;Ann. Appl. Probab.,2018

5. E. Bandini, A. Cosso, M. Fuhrman, H. Pham, Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems, Preprint arXiv:1511.09274v2, unpublished.

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