Optimal Stopping of a Diffusion with a Change Point

Abstract

This paper solves Bayes sequential optimal stopping and impulse control problems of a diffusion, whose drift term has an unobservable parameter with a change point. The value functions of the optimization and the control problems are characterized as viscosity solutions to non-stationary variational inequalities. Approximation schemes are proposed for the numerical computation of the value functions, thus also for the optimal stopping times and the optimal impulse controls.

Cite this paper

@inproceedings{Karatzas2011OptimalSO, title={Optimal Stopping of a Diffusion with a Change Point}, author={Ioannis Karatzas and Qinghua Li}, year={2011} }