英文标题：
《Impulse Control of a Diffusion with a Change Point》
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作者：
Lokman A. Abbas-Turki, Ioannis Karatzas and Qinghua Li
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最新提交年份：
2014
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英文摘要：
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.
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中文摘要：
本文解决了一个扩散问题的Bayes序贯脉冲控制问题，该扩散的漂移具有一个不可观测的参数和一个变化点。通过改变消除漂移的概率测度，将部分观测问题转化为完全观测问题。最优脉冲控制可以用适应观测滤波的马尔可夫过程的解和当前值来表示。我们将用Longstaff-Schwartz算法说明我们的结果在具有漂移不确定性的几何布朗运动股票价格模型中的应用。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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