Existence of optimal controls for partially observed jump processes

DOI10.1023/A:1020669212384zbMath1015.60075OpenAlexW6686365MaRDI QIDQ1862261

Paola Tardelli, Anna Gerardi, Claudia Ceci

Publication date: 11 March 2003

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020669212384

zbMATH Keywords

filteringjump 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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