Stochastic Control of Partially Observable Systems

ISBN: 9780521611978 出版年：1992 页码：362 Alain Bensoussan Cambridge University Press

Preface 1. Linear filtering theory 2. Optimal stochastic control for linear dynamic systems with quadratic payoff 3. Optimal control of linear stochastic systems with an exponential-of-integral performance index 4. Non linear filtering theory 5. Perturbation methods in non linear filtering 6. Some explicit solutions of the Zakai equation 7. Some explicit controls for systems with partial observation 8. Stochastic maximum principle and dynamic programming for systems with partial observation 9. Existence results for stochastic control problems with partial information References Index.