Borkar, Vivek S. (1987) Control of a partially observed diffusion up to an exit time Systems & Control Letters, 8 (5). pp. 429-434. ISSN 0167-6911
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Official URL: http://www.sciencedirect.com/science/article/pii/0...
Related URL: http://dx.doi.org/10.1016/0167-6911(87)90082-X
Abstract
The problem of controlling a partially observed diffusion process is studied when the cost structure has the form of an integral up to the first exit time from a bounded domain. A modified Zakai equation and the associated separated control problem are derived. An existence result for an optimal wide sense admissible control rule is sketched by analogy with the known 'finite time horizon' case.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Partially Observed Diffusions; Stochastic Optimal Control; Separated Control Problems; Modified Zakai Equation; Existence Of Optimal Control |
| ID Code: | 81422 |
| Deposited On: | 06 Feb 2012 04:36 |
| Last Modified: | 06 Feb 2012 04:36 |
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