The Partially Observed Stochastic Minimum Principle

The Partially Observed Stochastic Minimum Principle

Title : The Partially Observed Stochastic Minimum Principle
Authors :
Kohlmann, Michael
Elliott, Robert J
Baras, John, S.
Journal : SIAM Journal on Control and Optimization Vol. 27, No. 6, pp. 1279-1292
November 01, 1989

Using stochastic flows and the generalized differentiation formula of Bismut and Kunita, the change in cost due to a strong variation of an optimal control is explicitly calculated. Differentiating this expression gives a minimum principle in both the partially observed and stochastic open loop situations. In the latter case the equation satisfied by the adjoint process is obtained by applying a martingale representation result.

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