MARTINGALE MEASURES AND PARTIALLY OBSERVABLE DIFFUSIONS

被引：2
|
作者：
ELKAROUI, N
JEANBLANCPICQUE, M
机构：
[1] UNIV PARIS 06,PROBABILITES LAB,F-75230 PARIS 05,FRANCE
[2] ECOLE NORM SUPER,LAMM,CTR MATHEMAT & APPLICAT,F-94235 CACHAN,FRANCE
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 1991年 / 9卷 / 02期
关键词：
D O I：
10.1080/07362999108809232
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we solve the problem of existence of an optimal control based on partial observations in the general case where the observation process depends on the control. The method of solution is based on the use of relaxed controls and martingales measures: we associate a martingale problem with the filter and we prove that this problem is equivalent to the initial one.
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页码：147 / 176
页数：30
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