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    The Conditional Adjoint Process.

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    TR_88-1.pdf (234.2Kb)
    No. of downloads: 505

    Date
    1988
    Author
    Baras, John S.
    Elliott, Robert J.
    Kohlmann, Michael
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    Abstract
    The adjoint 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.
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    http://hdl.handle.net/1903/4734
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