A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process
type: Item
instance of: scholarly article
title: A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process
zbMATH Open document ID: 0918.60033
DOI: 10.1155/S1048953398000136
author: Doncho S. Donchev
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 1999-08-02T00:00:00Z
full work available at URL: https://eudml.org/doc/48193
review text: The value function of the optimal detection problem for jump-times of a Poisson process states a system of functional-differential equations with delays. The asymptotics of the solutions, explicit solution formulas for the global solutions, the fundamental solutions and the homogeneous equations are considered.
Mathematics Subject Classification ID: 60G99
Mathematics Subject Classification ID: 60H99
zbMATH DE Number: 1214055
zbMATH Keywords: Bellman equation
zbMATH Keywords: optimal detection of jump times
zbMATH Keywords: functional-differential equation
reviewed by: Wilfried Grecksch
MaRDI profile type: Publication
OpenAlex ID: W2107192106
description: scientific article; zbMATH DE number 1214055