Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes.

Abstract

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.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1981
Accession Number
ADA117069

Entities

People

  • Sanjoy K. Mitter
  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Air Force
  • Applied Mathematics
  • Calculus Of Variations
  • Computer Programming
  • Contracts
  • Differential Equations
  • Diffusion
  • Dynamic Programming
  • Equations
  • Filters
  • Filtration
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Scientific Research
  • Stochastic Control

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.