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ArticleOriginal scientific text

Title

The value function in ergodic control of diffusion processes with partial observations II

Authors 1

Affiliations

  1. School of Technology and Computer Science, Tata Institute of Fundamental Research, Homi Bhabha Road, Mumbai 400 005, India

Abstract

The problem of minimizing the ergodic or time-averaged cost for a controlled diffusion with partial observations can be recast as an equivalent control problem for the associated nonlinear filter. In analogy with the completely observed case, one may seek the value function for this problem as the vanishing discount limit of value functions for the associated discounted cost problems. This passage is justified here for the scalar case under a stability hypothesis, leading in particular to a "martingale" formulation of the dynamic programming principle.

Keywords

ENG
vanishing discount limit, value function, ergodic control, scalar diffusions, partial observations

Bibliography

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Applicationes Mathematicae
2000/27/4
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Pages:
455-464
Main language of publication
English
Received
2000-01-14
Accepted
2000-07-31
Published
2000
Exact and natural sciences