作者：Shwartz, A; Weiss, A
作者单位：Technion Israel Institute of Technology; AT&T; Alcatel-Lucent; Lucent Technologies
摘要：The theory of large deviations for jump Markov processes has been generally proved only when jump rates are bounded below, away from zero (Dupuis and Ellis, 1995, The large deviations principle for a general class of queueing systems I. Trans. Amer Moth. Soc. 347 2689-2751; Ignatiouk-Robert, 2002, Sample path large deviations and convergence parameters. Ann. Appl. Probab. 11 1292-1329; Shwartz and Weiss, 1995, Large Deviations for Performance Analysis, Chapman-Hall). Yet, various applications ...
作者：Décamps, JP; Mariotti, T; Villeneuve, S
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; University of London; London School Economics & Political Science
摘要：We study the decision of when to invest in a project whose value is perfectly observable but driven by a parameter that is unknown to the decision maker ex ante. This problem is equivalent to an optimal stopping problem for a bivariate Markov process. Using filtering and martingale techniques, we show that the optimal investment region is characterized by a continuous and nondecreasing boundary in the value-belief state space. This generates path-dependency in the optimal investment strategy. ...
