The variational principle for optimal control of diffusions with partial information

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Abstract

Strong variations are described for the ε{lunate}-optimal control of a class of control problems for systems described by stochastic diffusion equations. The differentiation process developed identifies the adjoint process. © 1989.

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Elliott, R. J., & Kohlmann, M. (1989). The variational principle for optimal control of diffusions with partial information. Systems and Control Letters, 12(1), 63–69. https://doi.org/10.1016/0167-6911(89)90097-2

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