uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Brownian optimal switching problem under incomplete information
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
(English)Manuscript (preprint) (Other academic)
Abstract [en]

In this paper we consider an incomplete information optimal switching problem in which the manager can only make use of noisy observations of the underlying Brownian motion $\{W_t\}_{t \geq 0}$. The manager can, at a fixed cost, switch between having the production facility open or closed and must find the optimal management strategy using only the noisy observations. Using the theory of linear stochastic filtering, we reduce the problem to a full information setting, show that the value function is non-decreasing with the amount of information available, and that the value function of the incomplete information problem converges to the value function of the corresponding full information problem as the noise in the observed process tends to $0$.

National Category
Mathematical Analysis
Research subject
Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-242556OAI: oai:DiVA.org:uu-242556DiVA: diva2:783913
Available from: 2015-01-27 Created: 2015-01-27 Last updated: 2015-03-17

Open Access in DiVA

No full text

Other links

http://arxiv.org/abs/1501.06449

Authority records BETA

Olofsson, Marcus

Search in DiVA

By author/editor
Olofsson, Marcus
By organisation
Department of Mathematics
Mathematical Analysis

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 489 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf