The Conditional Adjoint Process
Elliott, Robert J
Conference : The 8th International Conference on Analysis and Optimization of Systems pp. 654-662
Date: June 08 - June 10, 1988
The adjoint process and minimum principle for a partially observed diffusion can be obtained by differentiating the statement that a control u’ is optimal. Using stochastic flows the variation in the cost resulting from a change in an optimal control can be computed explicitly. The technical difficulty is to justify the differentiation.