On Sequential Decision Problems with Constant Costs of Observation
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We present a solution technique for optimal stopping problems with constant costs of observation in a diffusion setting. Such problems arise naturally, e.g., in Wald's type sequential decision problems and the Portfolio optimization model by Morton and Pliska. The main result is that the treatment of such problem boils down to the determination of the maximum points of a class of explicitly given functions. The findings are illustrated by a variety of examples and generalized to random costs of observation.
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2014 ◽
Vol 226
(1)
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pp. 727-739
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A robust R&D project portfolio optimization model for pharmaceutical contract research organizations
2014 ◽
Vol 158
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pp. 18-27
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1997 ◽
Vol 45
(1)
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pp. 81-107
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2002 ◽
Vol 18
(2)
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pp. 231-248
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