Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equ.pdfVIP

Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation   Fausto Gozzi y Andrzej Swiech z y Dipartimento di Matematica, Universita di Pisa, Via F. Buonarroti 2, 56127 Pisa, Italy z Scho ol of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332, U.S.A. Abstract We study a class of Hamilton-Jacobi-Bellman (HJB) equations asso ciated to sto chastic optimal control of the Duncan-Mortensen-Zakai equation. The equations are investigated in weighted L2 spaces. We intro duce an appropriate notion of weak (viscosity) solution of such equations and prove that the value function is the unique solution of the HJB equation. We apply the results to sto chastic optimal control problems with partial observation and correlated noise. Key words : Hamilton-Jacobi-Bellman equations, Duncan-Mortensen-Zakai equation, optimal control of partially observed systems, viscosity solutions. 1991 Mathematics Sub ject Classication : 35R15, 49L25, 93E11, 93E20.  The authors were supp orted by NSF grant DMS 97-06760. 1 1 Intro duction The pap er is devoted to the study of Hamilton-Jacobi-Bellman (HJB) equations asso ciated with sto chastic optimal control problems for the Duncan-Mortensen-Zakai (DMZ) equation. Such HJB equations have the form 8 ( m D E ) X 1