A sequential estimation problem with control and discretionary stopping

被引：2

作者：

Ekstrom, Erik ^{[1
]}

Karatzas, Ioannis ^{[2
]}

机构：

[1] Uppsala Univ, Dept Math, Box 256, S-75105 Uppsala, Sweden

[2] Columbia Univ, Dept Math & Stat, 2990 Broadway, New York, NY 10027 USA

来源：

PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK | 2022年 / 7卷 / 03期

基金：

美国国家科学基金会; 瑞典研究理事会;

关键词：

Sequential analysis; Filtering; Optimal stopping; Stochastic control; Bold play; STOCHASTIC-CONTROL; GAME;

D O I：

10.3934/puqr.2022011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We show that " full-bang " control is optimal in a problem which combines features of (i) sequential least-squares estimation with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded control of the rate at which observations are received, with a superquadratic cost per unit time; and (iii) " fast " discretionary stopping. We develop also the optimal filtering and stopping rules in this context.

引用

页码：151 / 168

页数：18

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