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Controlled partially observed diffusions with correlated noise

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Abstract

This work is concerned with separated control problems for optimal stochastic controls under partial observations. Continuity properties of the unnormalized conditional distribution measure are found, and the Nisio nonlinear semigroup is formed in the case when a functionh(X t ,Y t ,U t ) of stateX t observationY t , and controlU t plus correlated additive white noise is observed.

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Authors and Affiliations

  1. Faculty of Management, University of Toronto, M5S 1V4, Toronto, Ontario, Canada

    Qing Zhang

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  1. Qing Zhang
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Zhang, Q. Controlled partially observed diffusions with correlated noise. Appl Math Optim 22, 265–285 (1990). https://doi.org/10.1007/BF01447331

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  • DOI: https://doi.org/10.1007/BF01447331

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