Work

On stochastic relaxed control for partially observed diffusions

Year: 1984

Type: article

Abstract: In this paper we are concerned with stochastic relaxed control problems of the following kind. Let X ( t ), t ≥ 0, denote the state of a process being controlled, Y ( t ), t ≥ 0, the observation process and p ( t , ·) a relaxed control, that is a process with values probability measures on the control region Г . The state and observation processes are governed by stochastic differential equations and where B and W are independent Brownian motions with values in R n and R m respectively, (put m = 1 for simplicity).

Source: Nagoya Mathematical Journal

DOI: 10.1017/s0027763000020742

Authors: W. H. Fleming, M. Nisio

Institutions: Brown University, Kobe University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: National Science Foundation, University of Cambridge, Air Force Office of Scientific Research

Award: Research on Distributed Parameter Stochastic Systems and Optimal Stochastic Control