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Student Math Finance Seminar

Disorder Detection with Costly Observations
Monday, October 26, 2020
7:00-8:00 PM Off Campus Location
We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observation times and a stopping time corresponding to the declaration of disorder. We characterize the minimal cost of the disorder problem with costly observations as the unique fix-point of a certain jump operator, and we determine the optimal strategy. Speaker(s): Jia Guo (University of Michigan)
Building: Off Campus Location
Location: Virtual
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics