A Bayesian adaptive control problem with several interesting features, due to Benesš and Rishel, was treated as a stochastic control problem with partial observations - and on an infinite horizon with discounting - in the papers  and . We discuss here in full detail the finite-horizon version of that problem, by solving fairly explicitly the associated, fully nonlinear and degenerate, Hamilton-Jacobi-Bellman equation of parabolic type.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics