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A finite-dimensional risk-sensitive control problem. (English) Zbl 0841.93081

Summary: A partially observed stochastic control problem with exponential running cost is considered. The dynamics are linear and the running cost is quadratic, although the control may enter nonlinearly. Explicit solutions are found to a modified Zakai equation and a backward adjoint equation. This enables the problem to be expressed in terms of observable finite-dimensional dynamics and a separation principle to be applied.

MSC:

93E20 Optimal stochastic control
93C10 Nonlinear systems in control theory
93E11 Filtering in stochastic control theory
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