Le principe de separation pour le probleme de temps d'arret optimal

DOI10.1080/17442507908833136zbMath0427.60039OpenAlexW2030096035MaRDI QIDQ3862794

José Luis Menaldi

Publication date: 1979

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442507908833136

zbMATH Keywords

variational inequalitiesseparation principlefiltering problemsdegenerate diffusionsstopping time problemselliptic-parabolic operators

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Degenerate elliptic equations (35J70) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

On optimal correction problems with partial information ⋮ Existence of optimal controls for partially observed linear diffusions ⋮ Local optimality conditions for optimal stopping

Cites Work

• The Separation Principle in Stochastic Control via Girsanov Solutions
• Problemes de temps d’arret optimal et inequations variationnelles paraboliques
• On the Separation Theorem of Stochastic Control

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