On the informational structure in optimal dynamic stochastic control

2015-05-25
10:00-11:00
FAMNIT-POSTA
Matija Vidmar (University of Ljubljana)
On the informational structure in optimal dynamic stochastic control

We formulate a massively general framework for optimal dynamic stochastic control problems which allows for a control-dependent informational structure. The issue of informational consistency is brought to light and investigated. Bellman’s principle is formulated and proved. In a series of related results, we expound on the informational structure in the context of (completed) natural filtrations of (stochastic) processes.