| Article ID: | iaor19992708 |
| Country: | United States |
| Volume: | 11 |
| Issue: | 2 |
| Start Page Number: | 179 |
| End Page Number: | 192 |
| Publication Date: | Apr 1998 |
| Journal: | Journal of Applied Mathematics and Stochastic Analysis |
| Authors: | Donchev Doncho S. |
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 solutions.