On sequential decision problems with constant costs of observation
Kapitel i bok, 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.

Författare

Sören Christensen

Chalmers, Matematiska vetenskaper

Göteborgs universitet

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

229 ff.-

Ämneskategorier

Sannolikhetsteori och statistik

DOI

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

ISBN

9781522500445

Mer information

Skapat

2017-10-08