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Digitale Medien

Random relaxed controls and partially observed stochastic systems (1993)

Cutland, Nigel J. ; LindstrØm, Tom

Springer

Acta applicandae mathematicae 32 (1993), S. 157-182

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Details

ISSN: 1572-9036

Schlagwort(e): Primary 93E20, 49K27 ; Secondary 03H05, 28E05 ; Optimal stochastic controls ; partially observed diffusions ; generalized controls ; nonstandard analysis

Quelle: Springer Online Journal Archives 1860-2000

Thema: Mathematik

Notizen: Abstract We introduce a class of generalized controls called random relaxed controls, and show that under quite general conditions, a partially observed, controlled diffusion will have an optimal random relaxed control whose cost equals the infimum over the costs of all ordinary controls. We also show that the optimal admissible control can be approximated arbitrarily well by very simple, ordinary controls. The proofs are based on a close analysis of the standard parts of nonstandard controls.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF00998151

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