A Brownian optimal switching problem under incomplete information

DOI10.1214/18-ECP146zbMath1406.35451arXiv1501.06449MaRDI QIDQ1990035

Marcus Olofsson

Publication date: 24 October 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06449

zbMATH Keywords

incomplete informationstochastic filteringoptimal switching problem

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Brownian motion (60J65) PDEs in connection with control and optimization (35Q93) Problems with incomplete information (optimization) (49N30)

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