Existence of Optimal Controls for Partially Observed Diffusions.
Abstract
In this paper we are concerned with the existence of optimal controls for problems of the following kind. The state and observation processes are governed by stochastic differential equations. Instead of allowing only strict-sense controls, we obtain existence of a minimum in a wider class of controls. Our results together with a counterexample of Varadhan strongly suggest that, if there is indeed a general existence theorem for strict sense optimal controls, then standard methods are not adequate to prove it. There is a similar difficult in proving existence of optimal controls with complete observations with singular noise coefficient, if the term 'complete observations' is taken in the strict sense that depends on the past of the Wiener process driving the system. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1980
- Accession Number
- ADA090537
Entities
People
- Etienne Pardoux
- Wendell Fleming
Organizations
- Brown University