Control with Partial Observations and an Explicit Solution of Mortensen’s Equation

Control with Partial Observations and an Explicit Solution of Mortensen’s Equation We formulate a stochastic control problem with a general information structure, and show that an optimal law exists and is characterized as the unique solution of a recursive stochastic equation. For a special information structure of the “signal-plus-noise” type and with quadratic cost-functions, this recursive equation is solved for the value function of the control problem. This value function is then shown to satisfy the Mortensen equation of Dynamic Programming in function-space. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Control with Partial Observations and an Explicit Solution of Mortensen’s Equation

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Publisher
Springer-Verlag
Copyright
Copyright © 2004 by Springer-Verlag
Subject
Philosophy
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-003-0788-0
Publisher site
See Article on Publisher Site

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