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Treffer: Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes.

Title:
Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes.
Authors:
Fleming,Wendell H, Mitter,Sanjoy K
Contributors:
BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS
Source:
DTIC AND NTIS
Publication Year:
1981
Collection:
Defense Technical Information Center: DTIC Technical Reports database
Subject Terms:
Statistics and Probability, Diffusion theory, Stochastic control, Mathematical filters, Dynamic programming, Linear differential equations, Partial differential equations, Parabolas, Decay, Exponential functions, Theorems, Optimization, Nonlinear systems, Zakai equations, PE61102F, WUAFOSR2304A4
Document Type:
Fachzeitschrift text
File Description:
text/html
Language:
English
Relation:
http://www.dtic.mil/docs/citations/ADA117069
Availability:
http://www.dtic.mil/docs/citations/ADA117069
http://oai.dtic.mil/oai/oai?&verb=getRecord&metadataPrefix=html&identifier=ADA117069
Rights:
APPROVED FOR PUBLIC RELEASE
Accession Number:
edsbas.ACC06EDD
Database:
BASE

Weitere Informationen

A linear parabolic partial differential equation describing the pathwise filter for a nondegenerate diffusion is changed, by an expotential substitution, into the dynamic programming equation of an optimal stochastic control problem. This substitution is applied to obtain results about the rate of decay as the numerical value of chi approaches infinity of solutions p(chi, tau) to the pathwise filter equation, and for solutions of the corresponding Zakai equation. ; Prepared in cooperation with Massachusetts Inst. of Tech., Cambridge. Sponsored in part by Grant AFOSR-77-3281 and Contract ET-76-A-012295.