Abstract
In this chapter we study several examples: linear-quadratic and gambling problems, stopping problems and asset selling. Important applications of the Bayesian theory are those statistical decision problems (in particular problems of estimation and testing) which are not based on a fixed number of observations, but where sampling may be discontinued at a random time, determined by the observations made so far. An example is the sequential probability ratio test for two simple hypotheses.
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Hinderer, K., Rieder, U., Stieglitz, M. (2016). Examples of Bayesian Control Models. In: Dynamic Optimization. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-48814-1_24
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DOI: https://doi.org/10.1007/978-3-319-48814-1_24
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-48813-4
Online ISBN: 978-3-319-48814-1
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