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• W3208025274 abstract "This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The solution is obtained via an application of the maximum principle (MP). In the present paper, a dynamic programming (DP) principle is presented for a special class of BSDE-constrained stochastic optimal control problems. The principle is applied to derive the solution of the nonlinear filtering problem." @default.
• W3208025274 created "2021-11-08" @default.
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• W3208025274 date "2021-12-20" @default.
• W3208025274 modified "2023-10-16" @default.
• W3208025274 title "A Dynamic Programming Formulation for the Nonlinear Filter" @default.
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• W3208025274 doi "https://doi.org/10.1109/icc54714.2021.9703115" @default.
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