Results 31 to 40 of about 161 (92)

On occurrence of subpattern and method of gambling teams

Pattern, Gambling teams, Waiting times, Markov chains, Martingales, Test of randomness, Primary 60C05, Primary 60G42, Secondary 60G40, Secondary 62E17,
Vladimir Pozdnyakov
core   +1 more source

Optimal Early Retirement Near the Expiration of a Pension Plan

Free boundary, Optimal stopping, Variational inequality, 91B24, 60G40, 93E20, G 13,
E. Chevalier
core   +1 more source

Optimal dividend policy and growth option

Mixed singular control/optimal stopping problem, Local time, Dividend, Growth option, G11, C61, G35, 60G40, 91B70, 93E20,
Jean-Paul Décamps, Stéphane Villeneuve
core   +1 more source

Hájek-Inagaki convolution representation theorem for randomly stopped locally asymptotically mixed normal experiments

Locally asymptotically mixed normal experiments, Convolution theorem, Contiguity, Exponential approximation, Stopping time, Primary 62E20, 62L12, 62F12, Secondary 60G07, 60E10, 60G40,
George Roussas, Debasis Bhattacharya
core   +1 more source

Variational inequalities and the pricing of American options

, 1989
This paper is devoted to the derivation of some regularity properties of pricing functions for American options and to the discussion of numerical methods, based on the Bensoussan-Lions methods of variational inequalities.
Bernard Lapeyre, Lamberton, Damien, Lapeyre, Bernard, Patrick Jaillet, Jaillet, Patrick, Damien Lamberton   +5 more
core   +1 more source

CONTRACTION OPTIONS AND OPTIMAL MULTIPLE-STOPPING IN SPECTRALLY NEGATIVE LÉVY MODELS

, 2014
This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process.
46316, Yamazaki, Kazutoshi, 0000-0002-7401-2157, 山崎, 和俊, 50554937   +4 more
core   +1 more source

Smallest-Fit Selection of Random Sizes under a Sum Constraint: Weak Convergence and Moment Comparisons

, 1995
Primary 60G40, 60G70; secondary 60F05, 60F15, 60G55, 90B50.A Fulbright Grant and National Science Foundation Grant DMS 92 ...
Kertz, Robert P., Boshuizen, Frans A.
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Optimal Dividend Payout under Stochastic Discounting

, 2020
Bandini E, de Angelis T, Ferrari G, Gozzi F. Optimal Dividend Payout under Stochastic Discounting. Center for Mathematical Economics Working Papers. Vol 636.
Gozzi, Fausto, Tiziano De Angelis, Bandini, Elena, de Angelis, Tiziano, Ferrari, Giorgio, Fausto Gozzi, Elena Bandini, Giorgio Ferrari   +7 more
core   +1 more source

Information Advantages in Hiring under a Budget Constraint: Weak Convergence Comparisons

, 1995
AMS 1991 subject classifications. Primary 60G40, 60G70; secondary 60F05, 60F15, 60G35, 90B50.A Fulbright Grant and National Science Foundation Grant DMS 92 ...
Kertz, Robert P., Boshuizen, Frans A.
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An Irregular Grid Approach for Pricing High Dimensional American Options

AMS classifications: 35R35; 60G40; 65D15; 90C33;American options;high-dimensional problems;free boundary problems;optimal stopping;variational inequalities;numerical methods;unstructured mesh;Markov chain ...
Berridge, S.J., Schumacher, J.M.
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