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Existence of optimal controls for a partially observed semimartingale |
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| Authors: | M Kohlmann |
| Institution: | Institut für Angewandte Mathematik, University of Bonn, 5300 Bonn, W. Germany |
| Abstract: | For a partially observed control problem we prove the existence of an optimal control. Purely probabilistic means as Skorokhod imbedding and convergence are used to derive the result. |
| Keywords: | Weak convergence of measures Skorokhod imbedding and convergence optimal control |
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