Solving Problems of Optimal Stopping with Linear Costs of Observations

DOI10.1081/SQA-200027048zbMath1146.60307MaRDI QIDQ3155692

Albrecht Irle, Volkert Paulsen

Publication date: 18 January 2005

Published in: Sequential Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

Related Items (4)

General optimal stopping with linear cost ⋮ Optimal stopping problems for some Markov processes ⋮ Competition versus Cooperation: A Class of Solvable Mean Field Impulse Control Problems ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems

Cites Work

• Locally most powerful sequential tests for stochastic processes
• On the optimal stopping problem for one-dimensional diffusions.
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimal Stopping of Regular Diffusions under Random Discounting
• Bayes Solutions of Sequential Decision Problems

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