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On sequential decision problems with constant costs of observation

Sören Christensen (Institutionen för matematiska vetenskaper)
Stochastic Processes and Models in Operations Research. Neelamegam Anbazhagan (red.) p. 229 ff.. (2016)
[Kapitel, refereegranskat]

We present a solution technique for optimal stopping problems with constant costs of observation in a diffusion setting. Such problems arise naturally, e.g., in Wald's type sequential decision problems and the Portfolio optimization model by Morton and Pliska. The main result is that the treatment of such problem boils down to the determination of the maximum points of a class of explicitly given functions. The findings are illustrated by a variety of examples and generalized to random costs of observation.

Denna post skapades 2016-04-05. Senast ändrad 2016-07-01.
CPL Pubid: 234087


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