Existence of optimal controls for partially observed jump processes

DOI10.1023/A:1020669212384MaRDI QIDQ1862261zbMATH OpenOpenAlexFDO

Authors Claudia Ceci, Anna Gerardi, Paola Tardelli

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

filteringoptimal stochastic controlpartial observationsjump processesmartingale problemshistory sets

Mathematics Subject Classification ID

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

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• Mixed control problem under partial observation
• Observation control for discrete-continuous stochastic systems
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