Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems

DOI10.1016/S0304-4149(98)00054-4MaRDI QIDQ1807281zbMATH OpenOpenAlexFDO

Authors Claudia Ceci, Anna Gerardi

Publication date 18 November 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(98)00054-4

zbMATH Keywords

filteringMarkov jump processesoptimal stochastic controlpartial observationsmartingale 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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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 4020275 (Why is no real title available?)
• scientific article; zbMATH DE number 4128264 (Why is no real title available?)
• A partially observed control problem for Markov chains
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Filtering of a Markov jump process with counting observations
• Filtering of a branching process given its split times
• Filtering the histories of a partially observed marked point process
• Martingale problems for conditional distributions of Markov processes
• Measure-valued processes in the control of partially-observable stochastic systems
• Mixed control problem under partial observation
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• On the unnormalized solution of the filtering problem with counting process observations
• Optimal Control for Partially Observed Diffusions
• Optimal control and filtering of the reproduction law of a branching process
• Unique characterization of conditional distributions in nonlinear filtering
• partially observed control of markov processes, I

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• Controlled Heterogeneous Collection: The Role of Occupation Numbers
• Optimal reduction of public debt under partial observation of the economic growth
• An approximation method for controlled discrete jump processes under partial observations
• Filtering on a partially observed ultra-high-frequency data model
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• Existence of optimal controls for partially observed jump processes
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS

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