Admissible Control for the Linear-Gaussian State-Observation Model
definitionProbabilitydef:admissible-control-2026aConsider a \reftext{def:linear-gaussian-state-observation-model-2026a}{linear-Gaussian state-observation model} on , with notation and fixed versions as there, and let be a \reftext{def:natural-numbers-2026a}{natural number}.
An \textbf{admissible control with values in } for the model is a \reftext{def:family-subfamily-subsets-set-2026a}{family} , where each is a tuple of \reftext{def:square-integrable-mean-square-2026a}{square-integrable} random variables on , such that:
\textbf{(i)} for each the component family is \reftext{def:mean-square-continuous-process-2026a}{mean-square continuous};
\textbf{(ii)} for every and every , the random variable is \reftext{def:almost-surely-2026a}{almost surely} equal to a -measurable square-integrable random variable, where is the observation -algebra of the model — that is, of the observation process of the model itself, without control — and measurability means that preimages of \reftext{def:borel-sigma-algebra-real-line-2026a}{Borel sets} belong to .
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