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Title: A sequential estimation problem with control and discretionary stopping
We show that “full-bang” control is optimal in a problem which combines features of (i) sequential least-squares estimation with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded control of the rate at which observations are received, with a superquadratic cost per unit time; and (iii) “fast” discretionary stopping. We develop also the optimal filtering and stopping rules in this context.  more » « less
Award ID(s):
2004997
PAR ID:
10498260
Author(s) / Creator(s):
;
Publisher / Repository:
AIMS, LLC
Date Published:
Journal Name:
Probability, Uncertainty and Quantitative Risk
Volume:
7
Issue:
3
ISSN:
2095-9672
Page Range / eLocation ID:
151
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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