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math.OC2025
A Sequential Testing Problem with Signal Control
Steven Campbell, Georgy Gaitsgori, Richard Groenewald
We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. Th…
math.OC2024
Drift Control with Discretionary Stopping for a Diffusion
Václav E. Beneš, Georgy Gaitsgori, Ioannis Karatzas
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a st…