On the informational structure in optimal dynamic stochastic control
Probability
2018-05-16 v3
Abstract
We formulate a very general framework for optimal dynamic stochastic control problems which allows for a control-dependent informational structure. The issue of informational consistency is investigated. Bellman's principle is formulated and proved. In a series of related results, we expound on the informational structure in the context of (completed) natural filtrations of stochastic processes.
Cite
@article{arxiv.1503.02375,
title = {On the informational structure in optimal dynamic stochastic control},
author = {Saul Jacka and Matija Vidmar},
journal= {arXiv preprint arXiv:1503.02375},
year = {2018}
}
Comments
43 pages