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The finite-horizon version for a partially-observed stochastic control problem of benes
& rishel
Authors:
Ioannis Karatzas -
a;
Daniel L. Ocone -
b
| Affiliations: | a Department of Statistics, Colurnbia University, New York, NY |
| b Department of Mathematics, Rutgers University Hill Center, New Brunswick, NJ |
DOI:
10.1080/07362999308809332
Publication Frequency:
6 issues per year
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PDF
(English)
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Abstract
A Bayesian adaptive control problem with several interesting features, due to Bene
 and Rishel, was treated as a stochastic control problem with partial observations - and on an infinite horizon with discounting - in thepapers [2] and [10]. We discuss here in full detail the finite-horizon version of that problem, by solving fairly explicitly the associated, fully nonlinear and degenerate, Hamilton-Jacobi-Bellman equation of parabolic type
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