Luc Feron
School of Business and Economics | Bachelor Econometrics and Operations Research
"An optimal stopping problem with partial observations"
Luc's elevator pitch
This paper studies a discrete-time optimal stopping problem over an infinite horizon. The problem is built on top of a simple Markov chain which has parametrized transition probabilities. The decision-maker makes partial observations and his actions have non-deterministic results. In this paper I present and prove 14 theorems which result in four main findings: the optimal strategy, value of the game, performance of memoryless strategies and the value of information. This paper’s contributions are mainly theoretical; however, it also paves the way toward solving the problem on more complex Markov chains which may have practical applications in security pricing.
Congratulations Luc
In this video Luc is addressed briefly by the immediate supervisor.