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On sequential decision problems with constant costs of observation

Författare och institution:
Sören Christensen (Institutionen för matematiska vetenskaper, Chalmers/GU)
Publicerad i:
Stochastic Processes and Models in Operations Research. Neelamegam Anbazhagan (red.), s. 229 ff.
ISBN:
9781522500445
Publikationstyp:
Kapitel, refereegranskat
Förlag:
IGI
Publiceringsår:
2016
Språk:
engelska
Fulltextlänk:
Sammanfattning (abstract):
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.
Ämne (baseras på Högskoleverkets indelning av forskningsämnen):
NATURVETENSKAP ->
Matematik ->
Sannolikhetsteori och statistik ->
Matematisk statistik
Postens nummer:
234087
Posten skapad:
2016-04-05 14:16
Posten ändrad:
2016-07-01 11:07

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