Risk-sensitive/integral control for systems with point process observations
AuthorCharalambous, Charalambos D.
Hibey, Joseph L.
SourceProceedings of the IEEE Conference on Decision and Control
Proceedings of the IEEE Conference on Decision and Control
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This paper deals with necessary conditions for integral and exponential-of-integral cost functions, when the signal is a controlled diffusion process, and the observations consist of continuous and discontinuous processes. These problems are reformulated as infinite dimensional stochastic problems having full information, with state the Zakai equation for the integral cost, and the information state for the exponential-of-integral cost. The approach is the one considered in  for the case of integral cost with continuous observations.