On the optimal stopping with incomplete data

On the optimal stopping with incomplete data

The Kalman–Bucy continuous model of partially observable stochastic processes is considered. The problem of optimal stopping of a stochastic process with incomplete data is reduced to the problem of optimal stopping with complete data. The convergence of payoffs is proved when ε 1 → 0 , ε 2 → 0, whe...

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Main Authors: Petre Babilua, Besarion Dochviri, Zaza Khechinashvili
Format: Article
Language:English
Published: Elsevier 2018-12-01
Series:Transactions of A. Razmadze Mathematical Institute
Online Access:http://www.sciencedirect.com/science/article/pii/S2346809218301272
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spelling doaj-811d6141010b42a5abd9294ec10aa1742020-11-25T02:01:41ZengElsevierTransactions of A. Razmadze Mathematical Institute2346-80922018-12-011723332336On the optimal stopping with incomplete dataPetre Babilua0Besarion Dochviri1Zaza Khechinashvili2Ivane Javakhishvili Tbilisi State University, GeorgiaIvane Javakhishvili Tbilisi State University, GeorgiaCorresponding author.; Ivane Javakhishvili Tbilisi State University, GeorgiaThe Kalman–Bucy continuous model of partially observable stochastic processes is considered. The problem of optimal stopping of a stochastic process with incomplete data is reduced to the problem of optimal stopping with complete data. The convergence of payoffs is proved when ε 1 → 0 , ε 2 → 0, where ε 1 , and ε 2 are small perturbation parameters of the non observable and observable processes respectively. Keywords: Partially observable process, Gain function, Payoff, Stopping time, Optimal stoppinghttp://www.sciencedirect.com/science/article/pii/S2346809218301272
collection DOAJ
language English
format Article
sources DOAJ
author Petre Babilua
Besarion Dochviri
Zaza Khechinashvili
spellingShingle Petre Babilua
Besarion Dochviri
Zaza Khechinashvili
On the optimal stopping with incomplete data
Transactions of A. Razmadze Mathematical Institute
author_facet Petre Babilua
Besarion Dochviri
Zaza Khechinashvili
author_sort Petre Babilua
title On the optimal stopping with incomplete data
title_short On the optimal stopping with incomplete data
title_full On the optimal stopping with incomplete data
title_fullStr On the optimal stopping with incomplete data
title_full_unstemmed On the optimal stopping with incomplete data
title_sort on the optimal stopping with incomplete data
publisher Elsevier
series Transactions of A. Razmadze Mathematical Institute
issn 2346-8092
publishDate 2018-12-01
description The Kalman–Bucy continuous model of partially observable stochastic processes is considered. The problem of optimal stopping of a stochastic process with incomplete data is reduced to the problem of optimal stopping with complete data. The convergence of payoffs is proved when ε 1 → 0 , ε 2 → 0, where ε 1 , and ε 2 are small perturbation parameters of the non observable and observable processes respectively. Keywords: Partially observable process, Gain function, Payoff, Stopping time, Optimal stopping
url http://www.sciencedirect.com/science/article/pii/S2346809218301272
work_keys_str_mv AT petrebabilua ontheoptimalstoppingwithincompletedata
AT besariondochviri ontheoptimalstoppingwithincompletedata
AT zazakhechinashvili ontheoptimalstoppingwithincompletedata
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