Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems

DOI10.1016/S0304-4149(98)00054-4zbMath0934.60077OpenAlexW2006155412MaRDI QIDQ1807281

Claudia Ceci, Anna Gerardi

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00054-4

zbMATH Keywords

filteringMarkov jump processesmartingale problemspartial observationsoptimal stochastic controlhistory sets

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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