Abstract
A minimum principle for stochastic control problems with output feedback is derived by applying Bismut's minimum principle for stochastic control problems with full information about the past to the Kushner-Stratonovitch equation describing the controlled evolution of the conditional density of the state. The well-known solution of the linear-quadratic Gaussian problem is obtained from the principle.
Original language | Undefined |
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Pages (from-to) | 74-77 |
Journal | Systems and control letters |
Volume | 1 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1981 |
Keywords
- IR-68732