Control with partial observations and an explicit solution of Mortensen's equation
type: Item
instance of: scholarly article
title: Control with partial observations and an explicit solution of Mortensen's equation
zbMATH Open document ID: 1060.93106
author: Václav E. Beneš
author: Hui Wang
author: Ioannis Karatzas
author: Daniel L. Ocone
published in: Applied Mathematics and Optimization
publication date: 2004-10-28T00:00:00Z
review text: 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.
reviewed by: Vyacheslav A. Vasiliev
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N10
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 2111582
zbMATH Keywords: stochastic control
zbMATH Keywords: partial observations
zbMATH Keywords: filtering
zbMATH Keywords: recursive stochastic equations
zbMATH Keywords: Mortensen equation
zbMATH Keywords: value function
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: s00245-003-0788-0
OpenAlex ID: W2079585889
DOI: 10.1007/S00245-003-0788-0
description: scientific article; zbMATH DE number 2111582