A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process

DOI10.1155/S1048953398000136zbMath0918.60033OpenAlexW2107192106MaRDI QIDQ1270301

Doncho S. Donchev

Publication date: 2 August 1999

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/48193

zbMATH Keywords

Bellman equationfunctional-differential equationoptimal detection of jump times

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic analysis (60H99)

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