|
|||||
|
|
On a Problem of Optimal Stochastic Control with Incomplete Information |
|
| Authors: | Simon Brendle |
| Institution: | (1) Stanford University, Stanford, CA, USA |
| Abstract: | We study a problem of Bayesian adaptive control arising in mathematical finance. For this particular problem, we obtain explicit formulas for the value function and the optimal control policy. |
| Keywords: | Optimal stochastic control Filtering |
| 本文献已被 SpringerLink 等数据库收录！ | |