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

• Autorzy: Vivek S. Borkar
• 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.

Słowa kluczowe

EN

vanishing discount limit; value function; ergodic control; scalar diffusions; partial observations

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2000
• Tom: 27
• Numer: 4
• Strony: 455-464

Daty

wydano

2000

otrzymano

2000-01-14

poprawiono

2000-07-31

Twórcy

autor

Vivek S. Borkar

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

Bibliografia

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• 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.
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