Separation principle for impulse control with partial information

DOI10.1080/17442508308833262zbMath0518.93065OpenAlexW1972028239MaRDI QIDQ3669284

J. Szpirglas, Gerald Mazziotto

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833262

zbMATH Keywords

separation principleimpulse controlpartial informationsemi-martingale

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (1)

Filtrage non lineaire avec observation sur une variete

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