The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control (Q1201318): Difference between revisions
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scientific article
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English | The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control |
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The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control (English)
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17 January 1993
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The authors improve the results on the existence, uniqueness and optimal control of diffusion processes with partial observations presented in [\textit{V. E. Beneš}, \textit{I. Karatzas} and \textit{R. W. Rishel}, Applied stochastic analysis, Pap. Workshop, London/UK 1989, Stochastic Monogr. 5, 121-126 (1990; Zbl 0733.93080)]. It is proved that for any initial data \((Y_ 0,Z_ 0)\in R^ 2\) the SDE \(dY_ t=dW_ t\), \(dZ_ t=- \text{sgn}(Y_ tZ_ t)dW_ t\), where \(W\) is a one-dimensional Brownian motion, has a unique weak solution. An explicit representation for the resolvent of the process \((Y,Z)\) is given. The explicit solution of the above mentioned optimal control problem for a wide class of cost functions is presented.
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existence
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uniqueness
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optimal control of diffusion processes
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Brownian motion
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