Abstract
In this paper, we consider the control problem with optimal stopping of a jump process. Using compactification methods, we obtain the existence of an optimal Markovian optimal control.
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Communicated by A. Bensoussan
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Mazliak, L. Mixed control problem under partial observation. Appl Math Optim 27, 57–84 (1993). https://doi.org/10.1007/BF01182598
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DOI: https://doi.org/10.1007/BF01182598