Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
A stochastic adaptive control problem to maximize the probability of achieving a ``goal'' at a fixed time is solved. The observation process is a Brownian motion with a drift that is a random variable independent of the Brownian motion. The class of controls are square integrable, adapted processes. An optimal control is given explicitly.
scientific article; zbMATH DE number 1143929