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Multi-Dimensional Quality Control Problems and Quasi Variational Inequalities
1978
Transactions of the American Mathematical Society
A machine can manufacture any one of n m-dimensional Brownian motions with drift A" P$, defined on the space of all paths x(i) G C(J0, oo); Rm). It is given that the product is a random evolution dictated by a Markov process 9(t) with n states, and that the product is P*> when 9 (i) = j, 1 < j < n. One observes the a-fields of x (/), but not of 6 (/). With each product p£> there is associated a cost c.. One inspects 9 at a sequence of times (each inspection entails a certain cost) and stops
doi:10.2307/1997964
fatcat:jc7diqdfprfjvi5oozrbqxzeyq