Optimal control of point processes with noisy observations: the maximum principle

DOI10.1007/S00245-001-0031-9zbMath1001.93088OpenAlexW1971934384MaRDI QIDQ1599466

Shanjian Tang, Shui-Hung Hou

Publication date: 10 June 2002

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-001-0031-9

zbMATH Keywords

maximum principlebackward stochastic differential equationspoint processesjump processespartial observationsoptimal stochastic controlBSDEsWiener noise

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

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