On optimal correction problems with partial information. (English) Zbl 0561.93068
The authors consider an optimal stochastic control problem arising in the treatment of stochastic connection problems with partial information. The problem is treated by dynamic programming arguments and a penalty argument.
Reviewer: P.L.Lions
MSC:
| 93E20 | Optimal stochastic control |
| 49K45 | Optimality conditions for problems involving randomness |
| 49L20 | Dynamic programming in optimal control and differential games |
| 90C39 | Dynamic programming |
Keywords:
Hamilton-Jacobi-Bellman equations; stochastic connection problems; partial information; penalty argumentReferences:
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