The authors investigate the problem of impulse control of a partially observed diffusion process. The authors study the impulse control of Zakai type equations. The associated value function is characterized as the on...The authors investigate the problem of impulse control of a partially observed diffusion process. The authors study the impulse control of Zakai type equations. The associated value function is characterized as the only viscosity solution of the corresponding quasi-variational inequality. The authors show the optimal cost function for the problem with incomplete information can be approximated by a sequence of value functions of the previous type.展开更多
文摘The authors investigate the problem of impulse control of a partially observed diffusion process. The authors study the impulse control of Zakai type equations. The associated value function is characterized as the only viscosity solution of the corresponding quasi-variational inequality. The authors show the optimal cost function for the problem with incomplete information can be approximated by a sequence of value functions of the previous type.
