On sequential decision problems with constant costs of observation
Book chapter, 2016

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.

Author

Sören Christensen

Chalmers, Mathematical Sciences

University of Gothenburg

Stochastic Processes and Models in Operations Research. Neelamegam Anbazhagan (red.)

229 ff.-

Subject Categories

Probability Theory and Statistics

DOI

10.4018/978-1-5225-0044-5.ch013

ISBN

9781522500445

More information

Created

10/8/2017