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1. 1. Optimal Sequential Decisions in Hidden-State Models

   Författare :Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; sequential analysis; optimal stopping; optimal liquidation; drift uncertainty; incomplete information; stochastic filtering;

   Sammanfattning : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. LÄS MER