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Items for "optimal stopping"

Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings

The paper deals with the quickest detection of a change of the drift of the Brownian motion. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the optimal stopping problem for a diffusion Markov process...

Keywords: Brownian motion, disorder, generalized Bayesian and minimax formulations of the quickest detection problem, optimal stopping, asymptotical optimality

04/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation

We present an approximation method for discrete time nonlinear filtering in view of solving dynamic optimization problems under partial information...

Keywords: Nonlinear filtering, Markov chain, quantization, stochastic gradient descent, Monte Carlo simulations, partial observation, optimal stopping

03/2005 | Monte Carlo Methods and Applications, Walter de Gruyter

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You are here: Home :: Keyword index :: nad bis par :: optical measurement techniques - oral glucose tolerance test optimal stopping

Items for "optimal stopping"

Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation