A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process. (1998)

• Record Type: Journal Article
• Authors: Donchev, Doncho S.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 11:Number 2(1998)
• Page Start: 179
• Page End: 192
• Publication Date: 1998
• Subjects: functional-differential equations with delay -- fundamental functions -- global solutions; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953398000136
• Languages: English
• ISSNs: 1048-9533

Abstract

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.