Control of a partially observed diffusion up to an exit time (Q1088969)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Control of a partially observed diffusion up to an exit time |
scientific article |
Statements
Control of a partially observed diffusion up to an exit time (English)
0 references
1987
0 references
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.
0 references
partially observed diffusion process
0 references
modified Zakai equation
0 references
separated control problem
0 references
existence result
0 references
