Type & year
Book Chapters · 2012
Book Chapters · 2012 · Methods & Practice
Existence and uniqueness of solutions for a partially observed stochastic control problem
Alain Bensoussan, Metin Çakanyıldırım, Meng Li, Suresh P. Sethi
Stochastic Processes, Finance and Control, World Scientific, 393–413
Summary
This chapter develops a general method for discrete-time stochastic control under partial observation. An inventory application uses unnormalized conditional probabilities to linearize state evolution and establish existence and uniqueness for the Bellman equation.
Record
Research theme
Methods & Practice
Publication
Stochastic Processes, Finance and Control, World Scientific, 393–413
Suggested citation
Alain Bensoussan, Metin Çakanyıldırım, Meng Li, Suresh P. Sethi (2012). Existence and uniqueness of solutions for a partially observed stochastic control problem. Stochastic Processes, Finance and Control, World Scientific, 393–413.