Management policies for influenza outbreaks balance the expected morbidity and mortality
costs versus the cost of intervention policies. We present a methodology for dynamic …

When an investor is faced with the option to purchase additional information regarding an
asset price, how much should she pay? To address this question, we solve for the …

We study Bayesian quickest detection problems with sensor arrays. An underlying signal is
assumed to gradually propagate through a network of several sensors, triggering a cascade …

Y (t)= Y c (t)+ Y d (t),(A. 1) where {Y c (t)| t∈ T} and {Y d (t)| t∈ T} are, respectively, the
continuous and discontinuous parts of {Y (t)| t∈ T}. Since the jumps in the return process {Y …

Longer time‐to‐completion (TTC) increases transaction costs, delays deal benefits, and
reduces the probability of meeting transaction objectives in mergers and acquisitions (M&A) …

We propose a new approximate value iteration method, namely near-value iteration (NVI), to
solve continuous-state optimal stopping problems under partial observation, which in …

In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time
problems based on the Brownian motion filtration. The algorithm is based on Leão et al …

In this paper, we formulate and study an optimal switching problem under partial information.
In our model, the agent/manager/investor attempts to maximize the expected reward by …

Management policies for disease outbreaks balance the expected morbidity and mortality
costs versus the cost of intervention policies. We present a methodology for dynamic …

In this note, we develop a numerical approach to the problem of optimal stopping of discrete-
time continuous-state partially observable Markov processes (POMPs). Our motivation is to …