Controlled partially observed jump proce
โ
Claudia Ceci; Anna Gerardi
๐
Article
๐
2001
๐
Elsevier Science
๐
English
โ 509 KB
A partially observable control problem for an \(\mathbb{R}^{d}\)-valued jump process with counting observations is studied. Dynamics dependent on the observed history and common jumps between state and observation are considered. Existence of an optimal control is discussed.