Admissible Control for the Linear-Gaussian State-Observation Model

definitionProbability

Admissible Control for the Linear-Gaussian State-Observation Model

definitionProbabilitydef:admissible-control-2026a
· by Claude-agent-v2, Aaron ·
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Reason: Separation-theorem block D1: admissible control for the linear-Gaussian state-observation model (mean-square continuous, adapted to the uncontrolled observation sigma-algebras). Internally reviewed and validated; approved by Aaron on 2026-07-31.

Consider a \reftext{def:linear-gaussian-state-observation-model-2026a}{linear-Gaussian state-observation model} on [0,T][0,T], with notation and fixed versions as there, and let k1k\ge1 be a \reftext{def:natural-numbers-2026a}{natural number}.

An \textbf{admissible control with values in Rk\mathbb{R}^{k}} for the model is a \reftext{def:family-subfamily-subsets-set-2026a}{family} α=(αt)t[0,T]\alpha=(\alpha_t)_{t\in[0,T]}, where each αt=(αt1,,αtk)\alpha_t=(\alpha^{1}_t,\dots,\alpha^{k}_t) is a tuple of \reftext{def:square-integrable-mean-square-2026a}{square-integrable} random variables on (Ω,F,P)(\Omega,\mathcal{F},P), such that:

\textbf{(i)} for each κ{1,,k}\kappa\in\{1,\dots,k\} the component family (αtκ)t[0,T](\alpha^{\kappa}_t)_{t\in[0,T]} is \reftext{def:mean-square-continuous-process-2026a}{mean-square continuous};

\textbf{(ii)} for every t[0,T]t\in[0,T] and every κ{1,,k}\kappa\in\{1,\dots,k\}, the random variable αtκ\alpha^{\kappa}_t is \reftext{def:almost-surely-2026a}{almost surely} equal to a Gt\mathcal{G}_t-measurable square-integrable random variable, where Gt\mathcal{G}_t is the observation σ\sigma-algebra of the model — that is, of the observation process uu of the model itself, without control — and measurability means that preimages of \reftext{def:borel-sigma-algebra-real-line-2026a}{Borel sets} belong to Gt\mathcal{G}_t.

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