Browsing by Author "Elliott, R. J."
Now showing items 17 of 7

Article
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
Charalambous, Charalambos D.; Elliott, R. J. (1997)This paper is concerned with partially observed stochastic optimal control problems when nonlinearities enter the dynamics of the unobservable state and the observations as gradients of potential functions. Explicit ...

Article
Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
Charalambous, Charalambos D.; Elliott, R. J. (1998)This paper introduces certain nonlinear partially observable stochastic optimal control problems which are equivalent to completely observable control problems with finitedimensional state space. In some cases the optimal ...

Article
Conditional moment generating functions for integrals and stochastic integrals
Charalambous, Charalambos D.; Elliott, R. J.; Krishnamurthy, V. (2003)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuoustime nonlinear systems. The first method utilizes recursive stochastic partial differential ...

Article
Finitedimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities
Charalambous, Charalambos D.; Elliott, R. J. (1999)In general, nonlinear output feedback dynamic games are infinitedimensional. This paper treats a class of minimax games when the nonlinearities enter the dynamics of the unobservable states. An information state approach ...

Article
Information states in stochastic control and filtering: a lie algebraic theoretic approach
Charalambous, Charalambos D.; Elliott, R. J. (2000)The purpose of this paper is twofold: i) to introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistics, or information state, in the optimal control of stochastic systems and ...

Article
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
Charalambous, Charalambos D.; Elliott, R. J. (1998)The optimal leastsquares filtering of a diffusion x(t) from its noisy measurements {y(τ); 0 ≤ τ ≤ t} is given by the conditional mean E[x(t)\y(τ); 0 ≤ τ ≤ t]. When x(t) satisfies the stochastic diffusion equation dx(t) = ...

Article
New finitedimensional risksensitive filters: Small noise limits
Charalambous, Charalambos D.; Dey, S.; Elliott, R. J. (1998)This paper is concerned with continuoustime nonlinear risksensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finitedimensional ...