Control with partial observations and an explicit solution of Mortensen's equation
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.
scientific article; zbMATH DE number 2111582