Skip to main content
SpringerLink
Log in

Optimal stopping under partial observations

  • Conference paper
  • First Online:
Advances in Filtering and Optimal Stochastic Control

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 42))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. B. Grigelionis, On sufficient statistics for optimal stopping problems of stochastic processes, Lietuvos Math. Rink., Vol. XI, No. 3, (1971), pp. 529–533.

    Google Scholar 

  2. J. Szpirglas and G. Mazziotto, Modèle général de filtrage non linéaire et équations differentielles stochastiques assocíees, Ann. Inst. H. Poincarée, Vol. XV, No. 2, (1979), pp. 147–173.

    Google Scholar 

  3. —, Théorème de séparation pour l'arrêt optimal, Sém. Prob. XIII, Lecture Notes in Maths. No. 721, Springer Verlag 1979.

    Google Scholar 

  4. —, Théoreme de séparation pour le contrôle impulsionnel, Note technique NT/PAA/ATR/MTI/246, CNET, September 1980.

    Google Scholar 

  5. —, Separation theorems for optimal stopping and impulse control, ibid.

    Google Scholar 

  6. M. H. A. Davis, private communication.

    Google Scholar 

  7. W. H. Fleming and E. Pardoux, Optimal control for partially observed diffusions, SIAM J. on Control and Optimization, Vol. 20, No. 2, March 1982, pp. 261–285.

    Google Scholar 

  8. M. H. A. Davis, Some current issues in stochastic control theory, preprint of paper for Stochastics, Special Issue on Stochastic Optimization (ed., M. H. A. Dempster), based on a lecture at the Taskforce Workshop on Stochastic Optimization, IIASA, December, 1980.

    Google Scholar 

  9. M. H. A. Davis, and M. Kohlmann, On the nonlinear semigroup of stochastic control under partial observations, unfinished manuscript, 1981.

    Google Scholar 

  10. P. A. Meyer, Probability and potentials, Blaisdell, Waltham, 1966.

    Google Scholar 

  11. V. E. Benes, Exact finite dimensional filters for certain diffusions with nonlinear drift, Stochastics, Vol. 5, (1981), pp. 65–92.

    Google Scholar 

  12. A. V. Skorokhod, Studies in the theory of random processes, Addision-Wesley, Reading, Mass., 1965, p. 23, Theorem 4.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Bell Laboratories, 07974, Murray Hill, New Jersey

    Vaclav E. Benes

Authors
  1. Vaclav E. Benes
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Wendell H. Fleming Luis G. Gorostiza

Rights and permissions

Reprints and permissions

Copyright information

© 1982 Springer-Verlag

About this paper

Cite this paper

Benes, V.E. (1982). Optimal stopping under partial observations. In: Fleming, W.H., Gorostiza, L.G. (eds) Advances in Filtering and Optimal Stochastic Control. Lecture Notes in Control and Information Sciences, vol 42. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004523

Download citation

  • DOI: https://doi.org/10.1007/BFb0004523

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11936-4

  • Online ISBN: 978-3-540-39517-1

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation