Impulse control of a diffusion with a change point
نویسندگان
چکیده
منابع مشابه
Optimal Stopping of a Diffusion with a Change Point
This paper solves Bayes sequential optimal stopping and impulse control problems of a diffusion, whose drift term has an unobservable parameter with a change point. The value functions of the optimization and the control problems are characterized as viscosity solutions to non-stationary variational inequalities. Approximation schemes are proposed for the numerical computation of the value func...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2014
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2014.956458