Separation theorem for optimal impulse control with discontinuous observations
Separation theorem for optimal impulse control with discontinuous observations
- New search for: Szpirglas, J.
- New search for: Szpirglas, J.
Abstract A separation theorem between filtering and control is proved for a partially observed impulse control problem as in (6). But the observation process of an inventory is here a jump process, the intensity of which is a function of the controlled inventory. The difference with (6) arizes from the intensive use of the unnormalized filter associated to the "inventory-observation" system. This generalizes the cases with a finite dimensional filter of (1) and (7). Both uncontrolled and controlled models are constructed thanks to the reference probability method (12) first introduced in (13).
Document information
Separation theorem for optimal impulse control with discontinuous observations
1982-01-01
8 pages
Article/Chapter (Book)
Electronic Resource
English
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