2014/04/07 by Lokman Abbas-Turki, Lokman A. Abbas-Turki, Abbas-Turki, Lokman A. +4
Economics, Econometrics and Finance · Mathematics · #60G35 #60G40 #65C05 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR) #math.OC #msc:60G35 #msc:60G40 #msc:65C05 #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1404.1761
29 pages; 3 figures
arxiv created 2014/04/07 · openalex publication_date 2014/04/07 · arxiv updated 2014/08/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of probability measure which removes the drift. The optimal impulse controls can be expressed in terms of the solutions and the current values of a Markov process adapted to the observation filtration. We shall illustrate the application of our results using the Longstaff-Schwartz algorithm for multiple optimal stopping times in a geometric Brownian motion stock price model with drift uncertainty.