EXISTENCE OF AN OPTIMAL MARKOVIAN FILTER FOR THE CONTROL UNDER PARTIAL OBSERVATIONS

被引：42
作者：
ELKAROUI, N
NGUYEN, DH
JEANBLANCPICQUE, M
机构：
[1] UNIV PARIS 11, F-91405 ORSAY, FRANCE
[2] ECOLE NORMALE SUPER CACHAN, DEPT MATH, BUREAU H 43, F-94230 CACHAN, FRANCE
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1988年 / 26卷 / 05期
关键词：
Mathematical Techniques--Differential Equations - Signal Filtering and Prediction;
D O I：
10.1137/0326057
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper concerns the control of diffusions under partial observations. Part I studies the control of the signal process dXt=b(t,Xt,Ut)dt+σ(t,Xt,Ut)dBt. The existence of an optimal relaxed control is proved. Part II studies the separated problem and proves the existence of an optimal Markovian filter. Then, the authors compare the two problems and prove, under mild conditions, that the value functions for the two problems are equal.
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页码：1025 / 1061
页数：37
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