Control of a partially observed diffusion up to an exit time (Q1088969): Difference between revisions
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Latest revision as of 10:07, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Control of a partially observed diffusion up to an exit time |
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Control of a partially observed diffusion up to an exit time (English)
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1987
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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.
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partially observed diffusion process
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modified Zakai equation
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separated control problem
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existence result
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