Article1982

On the Existence of Optimal Controls for Partially Observed Diffusions

31 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Stability and Controllability of Differential Equations Adaptive Dynamic Programming Control

Abstract

The problem of optimally controlling a partially observed diffusion process is shown to have a solution in two cases: when the set of admissible controls is compact, or when the set of admissible controls is the set of randomized controls.

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References

1979Calcul Stochastique et Problèmes de Martingales 1972Stochastic Differential Equations 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1971Existence of Optimal Stochastic Control Laws 1982Optimal Control for Partially Observed Diffusions 1975Existence results for optimal stochastic controls

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