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
TypeCommunication / Conférence
Conference title28th IEEE Conference on Decision and Control, 1989.
Book titleProceedings of the 28th IEEE Conference on Decision and Control, 1989.
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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 / KeywordsPDE
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