Optimal control of point processes with noisy observations: the maximum principle

DOI10.1007/s00245-001-0031-9zbMath1001.93088MaRDI QIDQ1599466

Shui-Hung Hou, Shanjian Tang

Publication date: 10 June 2002

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-001-0031-9

zbMATH Keywords

maximum principle; backward stochastic differential equations; point processes; jump processes; partial observations; optimal stochastic control; BSDEs; Wiener noise

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60J60: Diffusion processes

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

49K45: Optimality conditions for problems involving randomness