Advertisement

On impulse control with partial observation

  • G. Mazziotto
  • L. Stettner
  • J. Szpirglas
  • J. Zabczyk
Control Theory
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 69)

Abstract

This paper presents an existence result for an impulse control problem with partial observation. The unobserved process evolves between any two successive impulse times as a Feller Markov process on a locally compact separable state space, and the observation process is of a "signal + white noise" type.

Keywords

Impulse Control Admissible Control Partial Observation Fell Property Fell Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. (1).
    J.M. BISMUT, B. SKALLI: "Temps d'arrêt optimal, théorie générale des processus et processus de Markov". Z.f.Wahr.V.Geb. 39 No1 (1977), 301–314.Google Scholar
  2. (2).
    C. DELLACHERIE, P.A. MEYER: "Probabilités et Potentiel" Tomes 1 & 2 Hermann, Paris (1975) & (1980).Google Scholar
  3. (3).
    N. EL KAROUI: "Les aspects probabilistes du controle stochastique". in Ecole d'été de Saint-Flour VIII. Lect. N. Maths No 876, Springer Verlag, Berlin (1981).Google Scholar
  4. (4).
    B. HANOUZET, J.L. JOLY: "Convergence uniforme des itérés définissant la solution d'une inéquation quasi-variationnelle abstraite". C. R. Acad. Sc. Paris 286 (1978), 735–738.Google Scholar
  5. (5).
    H. KUNITA: "Asymptotic Behaviour of the Non-linear Filtering Errors of Markov processes". J. Mult. Anal. 1, No4 (1971), 365–393.Google Scholar
  6. (6).
    J.P. LEPELTIER, B. MARCHAL: "Théorie générale du controle impulsionnel". Thèse Univ. du Maine & Thèse Univ. Paris 6 (1980).Google Scholar
  7. (7).
    R.S. LIPSTER, A.N. SHIRYAYEV: "Statistics of Random Processes". Appl. of Math. No5, Springer Verlag, Berlin (1977).Google Scholar
  8. (8).
    V. MASKEVICIUS: "Convergence of the value of the game in optimal stopping problems of Markov processes". Liet. Mat. Rink. 14 (1974), 113–127.Google Scholar
  9. (9).
    G. MAZZIOTTO, J. SZPIRGLAS: "Separation Principle for Impulse Control with Partial Information". Stochastics 10 (1983), 47–73.Google Scholar
  10. (10).
    M. ROBIN: "Controle impulsionnel des processus de Markov". Thèse Univ. Paris 9 (1978).Google Scholar
  11. (11).
    L. STETTNER: "On Optimal Stopping of Feller Markov Processes with Incomplete Information in Locally Compact State Space". Preprint (1983).Google Scholar
  12. (12).
    L. STETTNER, J. ZABCZYK: "Optimal Stopping for Feller Processes". Preprint IM Polish Academy of Sciences No 284 (1983).Google Scholar
  13. (13).
    J. SZPIRGLAS: "Sur l'équivalence d'équations différentielles stochastiques à valeurs mesures intervenant dans le filtrage markovien non-linéaire". Ann. Inst. H. Poincaré Vol XIV, No1 (1978), 33–59.Google Scholar
  14. (14).
    J. ZABCZYK: "On the Synthesis Problem in Impulse Control". Control Theory Centre Report, Univ. of Warwick (1984).Google Scholar

Copyright information

© Springer-Verlag 1985

Authors and Affiliations

  • G. Mazziotto
    • 1
  • L. Stettner
    • 2
  • J. Szpirglas
    • 1
  • J. Zabczyk
    • 3
  1. 1.PAA/TIM/MTI — Centre National d'Etudes des TélécommunicationsIssy les MoulineauxFrance
  2. 2.Institute of MathematicsPolish Academy of SciencesWarsawPoland
  3. 3.Institute of Mathematics, Polish Academy of Sciences, and Control Theory CentreUniversity of WarwickEngland

Personalised recommendations