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

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  • Doncho S. Donchev

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.

Suggested Citation

  • Doncho S. Donchev, 1998. "A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process," International Journal of Stochastic Analysis, Hindawi, vol. 11, pages 1-14, January.
    • Handle: RePEc:hin:jnijsa:895243
    DOI: 10.1155/S1048953398000136
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