Some remark on optimal stochastic control with partial information

被引：1
|
作者：
Baghéry, F
Turpin, I [1 ]
Ouknine, Y
机构：
[1] Univ Valenciennes, Lab Math Appl & Calcul Sci, F-59313 Valenciennes, France
[2] Fac Sci Semlalia, Dept Math, Marrakech, Morocco
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 06期
关键词：
stochastic control; stochastic flow; viscosity solutions; Zakai equation;
D O I：
10.1080/07362990500292783
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We are interested in the control problem of a partially observable diffusion process, which is initialized at a fixed point of R-n, and we want to characterize the associated value function. To resort to the theory of viscosity solutions depends on the possibility to translate such a problem on Hilbert spaces like L-2(R-n), and so it can not be used here. Nevertheless, a result of N. Bouleau and F. Hirsch allows us to introduce a broadened problem which fulfills the condition. The fact remains to link these two control problems.
引用
收藏
页码：1305 / 1320
页数：16
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