Compactification methods in a control problem of jump processes under partial observations
---Publisher, magazine: ,
Publication year: 1998
Lưu Trích dẫn Chia sẻAbstract
In this paper, we are concerned with a control problem of the transition intensity of a Markovian jump process (X1) with values in a finite set when the observable process is a diffusion. By enlarging the director space, we prove that there exists optimal controls. The separated control problem is also considered and it is shown that there exists an optimal Markovian filter.
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