Risk-sensitive/integral control for systems with point process observations
Date
1994Publisher
IEEESource
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
3Pages
2182-2183Google Scholar check
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This paper deals with necessary conditions for integral and exponential-of-integral cost functions, when the signal is a controlled diffusion process, and the observations consist of continuous and discontinuous processes. These problems are reformulated as infinite dimensional stochastic problems having full information, with state the Zakai equation for the integral cost, and the information state for the exponential-of-integral cost. The approach is the one considered in [1] for the case of integral cost with continuous observations.