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

DOI10.1016/S0304-4149(98)00054-4zbMATH Open0934.60077OpenAlexW2006155412MaRDI QIDQ1807281FDOQ1807281

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

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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)

Cites Work

• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
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• Martingale problems for conditional distributions of Markov processes
• Unique characterization of conditional distributions in nonlinear filtering
• Filtering of a Markov jump process with counting observations
• On the unnormalized solution of the filtering problem with counting process observations
• Filtering the histories of a partially observed marked point process
• Optimal Control for Partially Observed Diffusions
• A partially observed control problem for Markov chains
• Title not available (Why is that?)
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
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• partially observed control of markov processes, I
• Measure-valued processes in the control of partially-observable stochastic systems
• Mixed control problem under partial observation
• Optimal control and filtering of the reproduction law of a branching process
• Filtering of a branching process given its split times

Cited In (10)

• Portfolio optimization for a large investor controlling market sentiment under partial information
• Nonlinear filtering for jump diffusion observations
• Sequential tracking of a hidden Markov chain using point process observations
• 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
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• Filtering on a partially observed ultra-high-frequency data model
• 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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