Abstract
The stochastic continuous control problem of a diffusion process with noisy observations is studied by using techniques developed in the impulse control theory. ε -optimal separated impulse controls — i.e. which only depend on the filtering process of the partially observed system — are explicitely built by approximating the initial problem by means of a sequence of impulse control ones with vanishing impulse costs.
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© 1987 Springer-Verlag
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Mazziotto, G. (1987). Approximate impulse control of partially observed systems. In: Germani, A. (eds) Stochastic Modelling and Filtering. Lecture Notes in Control and Information Sciences, vol 91. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0009053
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DOI: https://doi.org/10.1007/BFb0009053
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