A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process (Q1270301): Difference between revisions
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Revision as of 09:53, 12 February 2024
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| English | A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process |
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A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process (English)
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2 August 1999
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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.
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Bellman equation
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optimal detection of jump times
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functional-differential equation
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