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).


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    Titel :

    Separation theorem for optimal impulse control with discontinuous observations


    Beteiligte:
    Szpirglas, J. (Autor:in)


    Erscheinungsdatum :

    01.01.1982


    Format / Umfang :

    8 pages





    Medientyp :

    Aufsatz/Kapitel (Buch)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch




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