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20112022
most citedWhen to look at a noisy Markov chain in sequential decision making if measurements are costly?

6 citations · 26 across the 23 of their papers we have counts for

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Showing 2016Show all

2 papers · 1 filter

math.OC2016

Partially Observed Markov Decision Processes. Problem Sets and Internet Supplement

Vikram Krishnamurthy

This document is an internet supplement to my book "Partially Observed Markov Decision Processes - From Filtering to Controlled Sensing" published by Cambridge University Press in…

q-fin.ST2016

Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models

Vikram Krishnamurthy, Elisabeth Leoff, Jörn Sass

Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to…