The Separation Principle in Stochastic Control, Redux

Details The Separation Principle in Stochastic Control, Redux The Separation Principle in Stochastic Control, Redux

2011-03-15

arxiv.org/abs/1103.3005v2

Mathematics

Optimization and Control

18 pages, 7 figures revision: added references, revised Lemma 6

Scientific paper

Over the last 50 years a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in continuous time with Gaussian white noise, subtle difficulties arise, unexpected by many, that are often overlooked. In this paper we provide a conceptual framework that clarifies pitfalls and possibilities. We also provide a generalizations of the separation theorem to a wide class of feedback laws, models and stochastic noise, including semimartingales with possible jumps.

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