The value function in ergodic control of diffusion processes with partial observations II
Applicationes Mathematicae (2000)
- Volume: 27, Issue: 4, page 455-464
- ISSN: 1233-7234
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topBorkar, Vivek. "The value function in ergodic control of diffusion processes with partial observations II." Applicationes Mathematicae 27.4 (2000): 455-464. <http://eudml.org/doc/219288>.
@article{Borkar2000,
abstract = {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.},
author = {Borkar, Vivek},
journal = {Applicationes Mathematicae},
keywords = {vanishing discount limit; value function; ergodic control; scalar diffusions; partial observations},
language = {eng},
number = {4},
pages = {455-464},
title = {The value function in ergodic control of diffusion processes with partial observations II},
url = {http://eudml.org/doc/219288},
volume = {27},
year = {2000},
}
TY - JOUR
AU - Borkar, Vivek
TI - The value function in ergodic control of diffusion processes with partial observations II
JO - Applicationes Mathematicae
PY - 2000
VL - 27
IS - 4
SP - 455
EP - 464
AB - 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.
LA - eng
KW - vanishing discount limit; value function; ergodic control; scalar diffusions; partial observations
UR - http://eudml.org/doc/219288
ER -
References
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