A Brownian optimal switching problem under incomplete information
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Publication:1990035
DOI10.1214/18-ECP146zbMath1406.35451arXiv1501.06449MaRDI QIDQ1990035
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
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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