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On approximation techniques for stochastic control with partial information

Bensoussan, Alain (1989), On approximation techniques for stochastic control with partial information, Proceedings of the 28th IEEE Conference on Decision and Control, 1989., IEEE, p. 716-718. http://dx.doi.org/10.1109/CDC.1989.70210

Type
Communication / Conférence
Date
1989
Conference title
28th IEEE Conference on Decision and Control, 1989.
Conference date
1989-12
Conference city
Tampa
Conference country
États-Unis
Book title
Proceedings of the 28th IEEE Conference on Decision and Control, 1989.
Publisher
IEEE
Pages
716-718
Publication identifier
Metadata
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Author(s)
Bensoussan, Alain
Abstract (EN)
Finite-dimensional filters are used in the context of stochastic control with partial information to obtain a kind of approximate separation principle. It turns out that many technical problems are met in the study of the approximation and that some simplification is desirable. The author shows how to use partial differential equation techniques to simplify the proofs as much as possible and to permit more general classes of approximate feedback to be envisioned.
Subjects / Keywords
PDE