Abstract
We study a stochastic control problem for the optimization of observations in a partially observable stochastic system. Using a method of discontinuous time transformation, we associate with the original problem with unbounded controls a problem that has bounded controls. This latter problem allows us to construct nearly optimal nonanticipative Lipschitz Markov controls with finite observation power for the original problem. Since the controlled observation equation may degenerate, we also derive a corresponding filtering result and show a separation property of the optimal controls.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
