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Probability and Computational Finance Seminar
Qinghua Li
Columbia University
Title: Optimal Stopping of a Diffusion with a Change Point

Abstract: We solve Bayes sequential optimal stopping and impulse control problems of a diffusion, whose drift term has an unobservable parameter with a change point. Once it changes, the parameter can take on any one of several possible values with certain prior probability. The value functions of the optimization and the control problems are characterized as viscosity solutions to non-stationary variational inequalities.

Co-authored with Professor Ioannis Karatzas.

Date: Monday, October 4, 2010
Time: 5:00 pm
Location: Wean Hall 8220
Submitted by:  Steve Shreve