Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
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Publication:1807281
DOI10.1016/S0304-4149(98)00054-4zbMath0934.60077MaRDI QIDQ1807281
Publication date: 18 November 1999
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
filtering; Markov jump processes; martingale problems; partial observations; optimal stochastic control; history sets
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
93E20: Optimal stochastic control
60G44: Martingales with continuous parameter
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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