Existence of Optimal Controls for Partially Observed Jump Processes |
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Authors: | Claudia Ceci Anna Gerardi Paola Tardelli |
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Institution: | (1) Dipartimento di Scienze, Università di Chieti, I-65127 Pescara, Italy;(2) Dipartimento di Ingegneria Elettrica, Universitá de L'Aquila, I-67040 L'Aquila, Italy |
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Abstract: | A partially observable control problem for an R
d
-valued jump process with counting observations is studied. The state and the observations may be strongly dependent and, in particular, the two processes may jump together. An equivalent separated problem is introduced and the existence of an optimal control for the separated problem is obtained in the class of relaxed and generalized controls. Equivalence between the initial problem and the relaxed generalized separated control problem is discussed. |
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Keywords: | jump processes optimal stochastic control partial observations filtering history sets martingale problems |
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