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

Claudia Ceci and Anna Gerardi

Stochastic Processes and their Applications, 1998, vol. 78, issue 2, 245-260

Abstract: 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.

Keywords: Markov; jump; processes; Optimal; stochastic; control; Partial; observations; Filtering; History; sets; Martingale; problems (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (5)

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