Controlled partially observed jump processes: Dynamics dependent on the observed history

Authors
Ceci, C Gerardi, A
Citation
C. Ceci et A. Gerardi, Controlled partially observed jump processes: Dynamics dependent on the observed history, NONLIN ANAL, 47(4), 2001, pp. 2449-2460
Citations number
10
Categorie Soggetti
Mathematics
Journal title
NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS
ISSN journal
0362546X → ACNP
Volume
47
Issue
4
Year of publication
2001
Pages
2449 - 2460
Database
ISI
SICI code
0362-546X(200108)47:4<2449:CPOJPD>2.0.ZU;2-A
Abstract
A partially observable control problem for an R-d-valued jump process with counting observations is studied. Dynamics dependent on the observed histor y and common jumps between state and observation are considered. Existence of an optimal control is discussed.