Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem

We develop a general methodology for a partially observed stochastic control problem. The dynamics is governed by a discrete-time Markov process. We describe an application to an inventory system with possibility of shrinkage, and introduce unnormalized conditional probabilities to transform the nonlinear state evolution into a linear one. We then prove the existence and uniqueness of the solution for the Bellman equation between the floor and the ceiling functions in the case of unbounded costs

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Year of publication:	2020
Authors:	Bensoussan, Alain
Other Persons:	Çakanyıldırım, M. (contributor) ; Li, Meng (contributor) ; Sethi, Suresh (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Kontrolltheorie \| Control theory

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