A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process

Doncho S. Donchev

International Journal of Stochastic Analysis, 1998, vol. 11, 1-14

Abstract:

The value function in the optimal detection problem for jump-times of a Poisson process satisfies a special system of functional-differential equations. In this paper, we investigate the system and prove the existence and uniqueness of its solution.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:895243

DOI: 10.1155/S1048953398000136

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