• DocumentCode
    3085971
  • Title

    The adjoint process for a partially observed Markov chain

  • Author

    Elliott, Robert J.

  • Author_Institution
    Dept. of Stat. & Appl. Prob., Alberta Univ., Edmonton, Alta., Canada
  • fYear
    1990
  • fDate
    5-7 Dec 1990
  • Firstpage
    2337
  • Abstract
    A finite-state-space Markov chain is considered. Without loss of generality its state-space can be taken to be the set of unit basis vectors of RN. On the basis of knowing only the total number of jumps, a control problem is discussed in `separated´ form. That is, the Zakai equation for its unnormalized distribution is taken as describing the state of the process. This is a linear vector equation driven by a standard Poisson process in which the control variable also appears in the `diffusion´ coefficient multiplying the noise term. The controls, similar to those employed by J.M. Bismut (1978) and H. J. Kushner (1972), are in the stochastic open-loop form. By adapting the techniques of A. Bensoussan (1982) and calculating a Gateaux derivative, the minimum principle satisfied by an optimal control is obtained. Finally, when the optimal control is Markov, the integrand in the martingale representation can be obtained explicitly, and new forward and backward equations satisfied by the adjoint process can be derived
  • Keywords
    Markov processes; optimal control; stochastic systems; Gateaux derivative; Zakai equation; adjoint process; finite-state-space Markov chain; linear vector equation; martingale representation; minimum principle; optimal control; partially observed Markov chain; standard Poisson process; unnormalized distribution; Differential equations; Forward contracts; Markov processes; Open loop systems; Optimal control; Poisson equations; Probability; State-space methods; Statistics; Vectors;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
  • Conference_Location
    Honolulu, HI
  • Type

    conf

  • DOI
    10.1109/CDC.1990.204044
  • Filename
    204044