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Technical note: average cost optimality in partially observable lost-sales inventory systems

Bai, Xingyu; Chen, Xin; Stolyar, Alexander L. - In: Operations research 71 (2023) 6, pp. 2390-2396

Persistent link: https://www.econbiz.de/10014445046

Two-armed restless bandits with imperfect information : stochastic control and indexability

Fryer, Roland G. <Jr.>; Harms, Philipp - In: Mathematics of operations research 43 (2018) 2, pp. 399-427

Persistent link: https://www.econbiz.de/10011868611

Partially observed optimal stopping problem for discrete-time Markov processes

Saporta, Benoîte de; Dufour, François; Nivot, Christophe - In: 4OR : a quarterly journal of operations research 15 (2017) 3, pp. 277-302

Persistent link: https://www.econbiz.de/10011742816

Estimation for stochastic damping hamiltonian systems under partial observation—I. Invariant density

Cattiaux, Patrick; León, José R.; Prieur, Clémentine - In: Stochastic Processes and their Applications 124 (2014) 3, pp. 1236-1260

In this paper, we study the non-parametric estimation of the invariant density of some ergodic hamiltonian systems, using kernel estimators. The main result is a central limit theorem for such estimators under partial observation (only the positions are observed). The main tools are mixing...

Persistent link: https://www.econbiz.de/10011064890

A contrast estimator for completely or partially observed hypoelliptic diffusion

Samson, Adeline; Thieullen, Michèle - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2521-2552

–both coordinates discretely observed–or partial observations–only one coordinate observed–are available. Since the volatility matrix is … the second coordinate only. For partial observations, we define a contrast based on an integrated diffusion resulting from … Gaussian. A numerical application to Langevin systems illustrates the nice properties of both complete and partial observations …

Persistent link: https://www.econbiz.de/10010577830

Optimal investment under partial information

Björk, Tomas; Davis, Mark; Landén, Camilla - In: Mathematical Methods of Operations Research 71 (2010) 2, pp. 371-399

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

Persistent link: https://www.econbiz.de/10010999871

Optimal investment under partial information

Björk, Tomas; Davis, Mark; Landén, Camilla - In: Computational Statistics 71 (2010) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10010759460

Maximum likelihood estimator for hidden Markov models in continuous time

Chigansky, Pavel - In: Statistical Inference for Stochastic Processes 12 (2009) 2, pp. 139-163

Persistent link: https://www.econbiz.de/10005004376