搜索结果: 1-14 共查到“Optimal stopping”相关记录14条 . 查询时间(0.125 秒)
Moments of random sums and Robbins' problem of optimal stopping
Moments of random sums Robbins' problem Probability
2011/9/13
Abstract: Robbins' problem of optimal stopping asks one to minimise the expected {\it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {\it value...
Optimal stopping problems for the maximum process with upper and lower caps
Optimal stopping optimal stopping boundary principle of smooth fit principle of continuous fit Levy processes
2011/8/23
Abstract: This paper concerns optimal stopping problems driven by a spectrally negative L\'evy process $X$. More precisely, we are interested in modifications of the Shepp-Shiryaev optimal stopping pr...
Optimal Stopping under Probability Distortion
optimal stopping probability distortion Choquet expectation probability distribution/qunatile function Skorokhod embedding problem S-shaped and reverse S-shaped function
2011/3/31
We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. ...
We study, for any stopping time S, the optimal stopping time problem v(S) = ess supSE[ ()|FS],where the reward is given by a family { (), 2 T0} of positive random variables indexed by stopping t...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
variational inequalities cost yields expected profit
2010/4/27
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
On a general zero-sum stochastic game with optimal stopping
a general zero-sum stochastic game optimal stopping
2009/9/24
In the paper a general zeroaum stochastic game with
stopping is considered. Using the so-called penalty method the author
shows the existence of the value of the game under fairly general
assumptio...
Addendum to the paper "On a general zero-sum stochastic game with optimal stopping"
Addendum a general zero-sum stochastic game optimal stopping
2009/9/24
Addendum to the paper "On a general zero-sum stochastic game with optimal stopping"。
A probabilistic approach to the reduite in optimal stopping
A probabilistic approach the reduite in optimal stopping
2009/9/23
In this work the approach to the reduite is made in
a simple and unified way. More precisely, we use the same probabilistic
technique to study the optimal stopping problem associated with
the redui...
On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
optimal stopping simulation based algorithms entropy with bracketing increments of empirical processes
2010/11/2
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of qu...
On the Values of Optimal Stopping Problems for Generalized Averages of Discrete Random Variables
Optimal Stopping Problems Generalized Averages Discrete Random Variables
2009/9/17
On the Values of Optimal Stopping Problems for Generalized Averages of Discrete Random Variables。
On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time
Levy processes optimal stopping problem Appell polynomials pasting principles
2009/4/24
Novikov and Shiryaev (2004) give explicit solutions to a class of optimal stopping problems for random walks based on other similar examples given in Darling et al. (1972). We give the analogue of the...
Regularity of the Optimal Stopping Problem for Levy Processes with Non-Degenerate Diffusions
Regularity Levy Processes Non-Degenerate Diffusions
2010/10/29
The value function of an optimal stopping problem for a process with L´evy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the proces...
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
explicit solution optimal stopping/optimal control problem models asset sale
2010/12/20
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposu...