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A general Martingale approach to discrete-time stochastic control and estimation

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2 Author(s)
Kai Hsu ; University of Texas, Austin, TX, USA ; Marcus, S.I.

A general method of constructing system models for the solution of discrete-time stochastic control and estimation problems is presented. The method involves the application of modern martingale theory and entails the judicious choice of certain sigma-algebras and martingales. General estimation equations are derived for observations taking values in a countable space, and previously obtained estimation equations are exhibited as special cases. Finally, an example of the application of these methods to a stochastic control problem is analyzed.

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Automatic Control, IEEE Transactions on  (Volume:24 ,  Issue: 4 )