Results 51 to 60 of about 161 (92)
Estimate for the discrete time hedging error of the American option on a dividend-paying stock
, 2012 S. Hussain, Nasir Rehman
semanticscholar +1 more source
Impulse Control of Piecewise Deterministic Markov Processes
, 1994 This paper concerns the optimal impulse control of piecewise deterministic Markov processes (PDPs). The PDP optimal (full) control problem with dynamic control plus impulse control is transformed to an equivalent dynamic control problem. The existence of
J. J. Ye, M.A.H. Dempster
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Decomposing the Brownian path via the range process
We decompose the Brownian trajectory from extremes, via the inverse of the range process. This allows us to construct a martingale which satisfies the chaotic property representation and is closely connected to parabolic martingale.60G17 60G40 60G44 ...
Vallois, P.
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Approximation of the Snell envelope and american options prices in dimension one
, 2002 V. Bally, B. Saussereau
semanticscholar +1 more source
Extension of Fill's perfect rejection sampling algorithm to general chains
, 1999 By developing and applying a broad framework for rejection sampling using auxiliary randomness, we provide an extension of the perfect sampling algorithm of Fill (1998) to general chains on quite general state spaces, and describe how use of bounding ...
Motoya Machida +3 more
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Sequential analysis and the law of the iterated logarithm
, 1986 H. R. Lerche
semanticscholar +1 more source
Multiple Buying Or Selling With Vector Offers
, 1996 X X X 1. Introduction and Summary. X X X k ; ; : : : k k N ; : : : ; N j j k X ; : : : ; X n X j ; ; : : : k c ? : : : c Universit'e Libre de Bruxelles University of California, Los Angeles KEYWORDS: OPTIMAL STOPPING, HOUSE-SELLING, JOB SEARCH ...
F. Thomas Bruss
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Optimizing Multiple Selections With A Random Number Of Objects
, 1998 The optimal stopping rules with multiple selections of m # 1 objects with the objective of maximizing the probability of obtaining the best object are studied for two problems with an unknown number of objects: the problem with a random number of ...
Katsunori Ano
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On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
, 2017 Ferrari G. On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. Center for Mathematical Economics Working Papers. Vol 709. Bielefeld: Center for Mathematical Economics; 2017.Consider the problem of a government that wants to ...
Ferrari, Giorgio
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