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Martingale measures and partially observable diffusions
Authors:
N. El Karoui a;
M. Jeanblac-Picqu
b
b
| Affiliations: | a Laboratoire de Probabilits, Universit Paris VI, Paris Cedex 05 |
| b Centre de Mathmatiques et leurs Applications, L.A.M.M.-E.N.S de Cachan, Cachan Cedex |
DOI:
10.1080/07362999108809232
Publication Frequency:
6 issues per year
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(English)
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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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