Optimal control of stochastic systems with interrupted observations

AbstractAn optimal control problem is considered for a nonlinear stochastic system with an interrupted observation mechanism that is characterized in terms of a jump Markov process taking on the values 0 or 1. The state of the system is described by a diffusion process, but the observation has components modulated by the jump process. The admissible control laws are smooth functions of the observation. Using the calculus of variations, necessary conditions on optimal controls are derived. These conditions amount to solving a set of four coupled nonlinear partial differential equations. A numerical procedure for solving these equations is suggested and an example dealt with numerically