Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation

Author:

Li Yunzhang1ORCID,Tan Xiaolu2,Tang Shanjian3ORCID

Affiliation:

1. Research Institute of Intelligent Complex Systems, Fudan University, Shanghai 200433, China.

2. Department of Mathematics, The Chinese University of Hong Kong, Hong Kong 999077, China.

3. Department of Finance and Control Sciences, School of Mathematical Sciences, Fudan University, Shanghai 200433, China.

Funder

National Natural Science Foundation of China

Shanghai Science and Technology Program

Shanghai Municipal Education Commission

National Key R&D Program of China

Chinese University of Hong Kong

Publisher

Society for Industrial & Applied Mathematics (SIAM)

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