Control with partial observations and an explicit solution of Mortensen's equation (Q1885368)
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scientific article; zbMATH DE number 2111582
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Control with partial observations and an explicit solution of Mortensen's equation |
scientific article; zbMATH DE number 2111582 |
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Control with partial observations and an explicit solution of Mortensen's equation (English)
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28 October 2004
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This paper considers a stochastic control problem with a general information structure, and shows that an optimal solution exists and is characterized as the unique solution of a recursive (or ``backwards'') 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.
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stochastic control
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partial observations
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filtering
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recursive stochastic equations
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Mortensen equation
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value function
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dynamic programming
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