Partially Observed Stochastic Control Systems.
Abstract
In this paper, the authors are concerned with the existence of optimal controls for problems. The method depends on introducing another stochastic control problem which is called a 'separated' problem. For several years the question of proving a general theorem about existence of optimal controls in the strict sense has been open. The authors do not obtain such a result here. However, they obtain an existence theorem in which a somewhat wider class of control processes is admitted.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1979
- Accession Number
- ADA078290
Entities
People
- Etienne Pardoux
- Wendell Fleming
Organizations
- Brown University