On Impulse Control with Partial Observation

DOI10.1137/0326052MaRDI QIDQ3799931zbMATH OpenOpenAlexFDO

Authors J. Szpirglas, Jerzy Zabczyk, Gerald Mazziotto, Łukasz Stettner

Publication date 1988

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0326052

zbMATH Keywords

optimal stoppingpartially observed impulse controlseparated problem

Mathematics Subject Classification ID

Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Stopping times; optimal stopping problems; gambling theory (60G40) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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• A simulation approach to optimal stopping under partial information
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