Results 41 to 50 of about 161 (92)
A note on bandits with a twist
, 2004 . A variant of the multi-armed bandit problem was recently introduced by Dimitriu, Tetali and Winkler. For this model (and a mild generalization) we propose faster algorithms to compute the Gittins index.
Jay Sethuraman, Akshay-kumar Katta
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Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)
, 2023 Dianetti J, Ferrari G, Tzouanas I. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Center for Mathematical Economics Working Papers. Vol 681.
Tzouanas, Ioannis +2 more
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Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost
, 2023 Federico S, Ferrari G, Torrente ML. Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Center for Mathematical Economics Working Papers. Vol 682. Bielefeld: Center for Mathematical Economics; 2023.We propose a model
Ferrari, Giorgio +2 more
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Goodness-of-fit tests for compound distributions with applications in insurance
, 2019 Goodness-of-fit procedures are provided to test the validity of compound models for the total claims, involving specific laws for the constituent components, namely the claim frequency distribution and the distribution of individual claim sizes.
Goffard, Pierre-Olivier +2 more
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Duality in ruin problems for ordered risk models
, 2018 P. Goffard, C. Lefèvre
semanticscholar +1 more source
A Barrier Option Of American Type
, 1998 We obtain closed--form expressions for the prices and optimal hedging strategies of American put--options in the presence of an "up--and--out" barrier, both with and without constraints on the short--selling of stock. The constrained case leads
Hui Wang, Ioannis Karatzas
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SEQUENTIAL MAXIMUM LIKELIHOOD ESTIMATION IN NONLINEAR NONMARKOV DIFFUSION TYPE PROCESSES
, 2018 J. Bishwal
semanticscholar +1 more source
Complete lattices of probability measures with applications to martingale theory
, 2000 R. P. Kertz, U. Rösler
semanticscholar +1 more source
Extension of Fill's perfect rejection sampling algorithm to general chains (Extended Abstract)
, 1999 . We provide an extension of the perfect sampling algorithm of Fill (1998) to general chains, and describe how use of bounding processes can ease computational burden. Along the way, we unearth a simple connection between the Coupling From The Past (CFTP)
Motoya Machida +3 more
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A Note on Bruss' Stopping Problem with Random Availability
, 2000 . Bruss #1987# has studied a continuous-time generalization of the so-called secretary problem, where options arise according to homogeneous Poisson processes with an unknown intensityof#.
Masakazu Ando, Katsunori Ano
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