The finite-horizon version for a partially-observed stochastic control problem of beneš & rishel

Ioannis Karatzas, Daniel Ocone

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

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 [2] and [10]. 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.

Original languageEnglish (US)
Pages (from-to)569-605
Number of pages37
JournalStochastic Analysis and Applications
Volume11
Issue number5
DOIs
StatePublished - Jan 1 1993

Fingerprint

Finite Horizon
Stochastic Control
Control Problem
Partial Observation
Discounting
Hamilton-Jacobi-Bellman Equation
Fully Nonlinear
Infinite Horizon
Adaptive Control
Infinite horizon
Stochastic control
Adaptive control
Hamilton-Jacobi-Bellman equation
Finite horizon

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Cite this

@article{5eca4239606a4ce791d4707edc20184a,
title = "The finite-horizon version for a partially-observed stochastic control problem of beneš & rishel",
abstract = "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 [2] and [10]. 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.",
author = "Ioannis Karatzas and Daniel Ocone",
year = "1993",
month = "1",
day = "1",
doi = "10.1080/07362999308809332",
language = "English (US)",
volume = "11",
pages = "569--605",
journal = "Stochastic Analysis and Applications",
issn = "0736-2994",
publisher = "Taylor and Francis Ltd.",
number = "5",

}

The finite-horizon version for a partially-observed stochastic control problem of beneš & rishel. / Karatzas, Ioannis; Ocone, Daniel.

In: Stochastic Analysis and Applications, Vol. 11, No. 5, 01.01.1993, p. 569-605.

Research output: Contribution to journalArticle

TY - JOUR

T1 - The finite-horizon version for a partially-observed stochastic control problem of beneš & rishel

AU - Karatzas, Ioannis

AU - Ocone, Daniel

PY - 1993/1/1

Y1 - 1993/1/1

N2 - 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 [2] and [10]. 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.

AB - 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 [2] and [10]. 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.

UR - http://www.scopus.com/inward/record.url?scp=0008716298&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0008716298&partnerID=8YFLogxK

U2 - 10.1080/07362999308809332

DO - 10.1080/07362999308809332

M3 - Article

VL - 11

SP - 569

EP - 605

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

SN - 0736-2994

IS - 5

ER -