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https://hdl.handle.net/2440/36650
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DC Field | Value | Language |
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dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Aggoun, L. | - |
dc.contributor.author | Benmerzouga, A. | - |
dc.date.issued | 2005 | - |
dc.identifier.citation | Stochastic Analysis and Applications, 2005; 22(2):499-505 | - |
dc.identifier.issn | 0736-2994 | - |
dc.identifier.issn | 1532-9356 | - |
dc.identifier.uri | http://hdl.handle.net/2440/36650 | - |
dc.description.abstract | A partially observed stochastic control problem is considered in continuous time where both the state and observation processes are given by non-linear dynamics. Measure change techniques applied to the cost process allow both state and observation processes to be thought of as linear. If the cost is given a special form, this transformation changes the original non-linear problem into a linear one. | - |
dc.description.statementofresponsibility | Robert J. Elliott; Lakhdar Aggoun; Ali Benmerzouga | - |
dc.language.iso | en | - |
dc.publisher | Marcel Dekker Inc | - |
dc.rights | Copyright © 2004 by Marcel Dekker, Inc. | - |
dc.source.uri | http://www.informaworld.com/smpp/content?content=10.1081/SAP-120028607 | - |
dc.subject | Measure change | - |
dc.subject | Stochastic control | - |
dc.subject | Non-linear dynamics | - |
dc.subject | LQG form | - |
dc.title | Finite-dimensional filtering and control for continuous-time nonlinear systems | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1081/SAP-120028607 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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