Abstract
Introducing an auxiliary complete observation control problem, using the separated controls and a Veretennikov's theorem extension, we have proved, in a probabilistic manner -by density control method- that the partially observed control problem has a separated optimal policy amongst the admissible controls defined to be all the processes adapted to the observation's filtration.
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© 1986 Springer-Verlag
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Cohen, R. (1986). A solution to the partially observed control problem of linear systems, with non-quadratic cost. In: Christopeit, N., Helmes, K., Kohlmann, M. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 78. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0041155
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DOI: https://doi.org/10.1007/BFb0041155
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