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2000 | 27 | 4 | 455-464
Tytuł artykułu

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

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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.
Rocznik
Tom
27
Numer
4
Strony
455-464
Opis fizyczny
Daty
wydano
2000
otrzymano
2000-01-14
poprawiono
2000-07-31
Twórcy
  • School of Technology and Computer Science, Tata Institute of Fundamental Research, Homi Bhabha Road, Mumbai 400 005, India
Bibliografia
  • D. G. Aronson (1967), Bounds for the fundamental solution of a parabolic equation, Bull. Amer. Math. Soc. 73, 890-896.
  • G. K. Basak, V. S. Borkar and M. K. Ghosh (1997), Ergodic control of degenerate diffusions, Stochastic Anal. Appl. 15, 1-17.
  • A. G. Bhatt and V. S. Borkar (1996), Occupation measures for controlled Markov processes: characterization and optimality, Ann. Probab. 24, 1531-1562.
  • R. N. Bhattacharya (1981), Asymptotic behaviour of several dimensional diffusions, in: Stochastic Nonlinear Systems in Physics, Chemistry and Biology, L. Arnold and R. Lefever (eds.), Springer Ser. Synerg. 8, Springer, Berlin, 86-99.
  • V. S. Borkar (1989), Optimal Control of Diffusion Processes, Pitman Res. Notes Math. Ser. 203, Longman Sci. and Tech., Harlow.
  • V. S. Borkar (1999), The value function in ergodic control of diffusion processes with partial observations, Stochastics Stochastics Reports 67, 255-266.
  • W. F. Fleming and E. Pardoux (1982), Optimal control of partially observed diffusions, SIAM J. Control Optim. 20, 261-285.
  • N. Ikeda and S. Watanabe (1981), Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam, and Kodansha, Tokyo.
  • C. Striebel (1984), Martingale methods for the optimal control of continuous time stochastic systems, Stochastic Process. Appl. 18, 329-347.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-zmv27i4p455bwm
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