On optimal stopping with incomplete data

Author: Besarion Dochviri
Keywords: partially observable random process, gain function, payoff, optimal stopping, stopping time
Annotation:

The general questions of the theory of optimal stopping for partially observable random processes are studied. The modification of Kalman-Bucy’s continuous model of partially observable processes is considered. The problem of optimal stopping with incomplete data is reduce to the problem of optimal stopping with complete data and the convergence of payoffs is proved, when the small perturbation parameter of the observable random process tends to zero.

Lecture files:

არასრული მონაცემებით ოპტიმალური გაჩერების შესახებ [ka]
On optimal stopping with incomplete data [en]