Some Remark on Optimal Stochastic Control with Partial Information |
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| Authors: | Fouzia Baghéry Youssef Ouknine |
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| Institution: | 1. Laboratoire de Mathématiques Appliquées et de Calcul Scientifique , Université de Valenciennes , Valenciennes, France;2. Department of Mathematics, Faculty of Sciences Semlalia , Marrakesh, Morocco |
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| Abstract: | Abstract We are interested in the control problem of a partially observable diffusion process, which is initialized at a fixed point of ? n , and we want to characterize the associated value function. To resort to the theory of viscosity solutions depends on the possibility to translate such a problem on Hilbert spaces like L 2(? n ), and so it can not be used here. Nevertheless, a result of N. Bouleau and F. Hirsch allows us to introduce a broadened problem which fulfills the condition. The fact remains to link these two control problems. |
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| Keywords: | Stochastic control Stochastic flow Viscosity solutions Zakai equation |
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