Accession Number : ADA117069

Title :   Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes.

Descriptive Note : Technical rept.,

Corporate Author : BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Fleming,Wendell H ; Mitter,Sanjoy K

PDF Url : ADA117069

Report Date : Sep 1981

Pagination or Media Count : 24

Abstract : A linear parabolic partial differential equation describing the pathwise filter for a nondegenerate diffusion is changed, by an expotential substitution, into the dynamic programming equation of an optimal stochastic control problem. This substitution is applied to obtain results about the rate of decay as the numerical value of chi approaches infinity of solutions p(chi, tau) to the pathwise filter equation, and for solutions of the corresponding Zakai equation.

Descriptors :   *Diffusion theory, *Stochastic control, *Mathematical filters, Dynamic programming, Linear differential equations, Partial differential equations, Parabolas, Decay, Exponential functions, Theorems, Optimization, Nonlinear systems

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE