Partially observed control of a Markov jump process with counting observations: equivalence with the separated problem

This paper concerns a partially observable finite horizon control problem for -valued pure Markov jump process using the information given by the point process which counts the total number of jumps. Equivalence between the partially observable control problem and the separated control problem is discussed.

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Year of publication:	1998
Authors:	Ceci, Claudia ; Gerardi, Anna
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 78.1998, 2, p. 245-260
Publisher:	Elsevier
Keywords:	Markov jump processes Optimal stochastic control Partial observations Filtering History sets Martingale problems

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875516