Martingale measures and partially observable diffusions |
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| Authors: | N. El Karoui M. Jeanblac-Picqué |
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| Affiliation: | 1. Laboratoire de Probabilités , Université Paris VI , Tour 56 4 place Jussieu, Paris Cedex 05, F 75230;2. Centre de Mathématiques et leurs Applications , L.A.M.M.-E.N.S de Cachan , 61 Av Pdt Wilson, Cachan Cedex, F.94235 |
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| Abstract: | In this paper, we solve the problem of existence of an optimal control based on partial observations in the general case where the observation process depends on the control. The method of solution is based on the use of relaxed controls and martingales measures: we associate a martingale problem with the filter and we prove that this problem is equivalent to the initial one |
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