# Impulse Control of a Diffusion with a Change Point

arXiv: https://arxiv.org/abs/1404.1761 · HTML: https://mlsanity.com/paper/1404.1761/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 7 Apr 2014.

## Built on by (most cited first, 1 of 1)

- [Trading Devil: Robust backdoor attack via Stochastic investment models and Bayesian approach](https://mlsanity.com/paper/2406.10719/) (2024)

## Abstract (arXiv)

This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of probability measure which removes the drift. The optimal impulse controls can be expressed in terms of the solutions and the current values of a Markov process adapted to the observation filtration. We shall illustrate the application of our results using the Longstaff-Schwartz algorithm for multiple optimal stopping times in a geometric Brownian motion stock price model with drift uncertainty.