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• W2966819466 abstract "We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-state Markov process. The Markov process itself is not observable, and the problem consist in finding a {-1,1}-valued process that tracks the unobservable process as close as possible. We present an explicit construction of such a process." @default.
• W2966819466 created "2019-08-13" @default.
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• W2966819466 date "2019-08-03" @default.
• W2966819466 modified "2023-09-27" @default.
• W2966819466 title "Sequential tracking of an unobservable two-state Markov process under Brownian noise" @default.
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• W2966819466 hasPublicationYear "2019" @default.
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