Results 61 to 70 of about 161 (92)
Let X_i be nonnegative independent random variables with finite expectations and X^*_n = max {X_1, ..., X_n}. The value EX^*_n is what can be obtained by a ``prophet".
David Assaf, Ester Samuel-Cahn
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A LARGE POPULATION, GAME THEORETIC MODEL OF JOB-SEARCH WITH DISCOUNTING
This paper considers a large population, game theoretic job-search problem, in which the ratio of job searchers to jobs is α. There are n distinct types of jobs, each with an associated value. Each searcher can only accept one job and cannot recall a job
DAVID M. RAMSEY
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NASH EQUILIBRIUM IN TWO-SIDED MATE CHOICE PROBLEM
We consider a two-sided search model in which individuals from two distinct populations would like to form a long-term relationship with a member of the other population. The individual choice is determined by the quality of the partner.
ANNA FALKO, VLADIMIR MAZALOV
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Optimal Quantization Methods and Applications to Numerical Problems in Finance
, 2003 We review optimal quantization methods for numerically solving nonlinear problems in higher dimension associated with Markov processes. Quantization of a Markov process consists in a spatial discretization on finite grids optimally fitted to the dynamics
Gilles Pages +4 more
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Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
Ferrari G, Pajola A. Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise. Center for Mathematical Economics Working Papers. Vol 751.
Ferrari, Giorgio, Pajola, Anna
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, 2007 We compute the performance of delayed responses within stochastic decision models, and give examples when the underlying is a diffusion. Mathematics Subject Classification: 91E45; 60G40 Keywords: decision model, delayed response time Problem A stochastic
George Stoica, Michael T Bradley
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CONTRACTION OPTIONS AND OPTIMAL MULTIPLE-STOPPING IN SPECTRALLY NEGATIVE LÉVY MODELS
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.
Yamazaki, Kazutoshi, 山崎, 和俊
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ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
We address the issue of finding a strategy to sustain structural profitability of an investment project, whose production activity depends on the market price of a number of underlying commodities. Depending on the fluctuating prices of these commodities,
BOUALEM DJEHICHE, SAID HAMADÈNE
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Maximizing expected value with two stage stopping rules
Let X n,…,X 1 be i.i.d. random variables with distribution function F and finite expectation. A statistician, knowing F, observes the X values sequentially and is given two chances to choose X's using stopping rules.
David Assaf +2 more
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