Results 1 to 10 of about 78,187 (304)
On the value of optimal stopping games [PDF]
Annals of Applied Probability, 2006 Published at http://dx.doi.org/10.1214/105051606000000204 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Erik Ekström, Stéphane Villeneuve
exaly +12 more sources
Neural architecture search applying optimal stopping theory [PDF]
Frontiers in Artificial IntelligenceNeural architecture search (NAS) exploration requires tremendous amounts of computational power to properly explore. This makes exploration of modern NAS search spaces impractical for researchers due to the infrastructure investments required and the ...
Matthew Sheehan, Oleg Yakimenko
doaj +2 more sources
From time-inconsistency to time-consistency for optimal stopping problems. [PDF]
PLoS ONEFor optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time required to turn the naive strategies into the sophisticated ones.
Sang Hu, Zihan Zhou
doaj +3 more sources
Pathwise Optimization for Optimal Stopping Problems [PDF]
Management Science, 2012 We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the “price”) of a high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problems as optimization problems over the space of martingales, which we dub ...
Vijay V Desai +2 more
exaly +2 more sources
Optimal Stopping and the American Put [PDF]
Mathematical Finance, 1991 We show that the problem of pricing the American put is equivalent to solving an optimal stopping problem. the optimal stopping problem gives rise to a parabolic free‐boundary problem. We show there is a unique solution to this problem which has a lower boundary.
Saul Jacka
exaly +3 more sources
Recursive Optimal Stopping with Poisson Stopping Constraints
SIAM Journal on Control and Optimization29 pages, 2 ...
Gechun Liang +3 more
core +5 more sources
Convergence of values in optimal stopping and convergence of optimal stopping times
Electronic Journal of Probability, 2007 Under the hypothesis of convergence in probability of a sequence of càdlàg processes $(X^n)\_n$ to a càdlàg process $X$, we are interested in the convergence of corresponding values in optimal stopping and also in the convergence of optimal stopping times. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.
François Coquet
exaly +6 more sources
On quality standards and the timing of pharmaceutical investment [PDF]
Frontiers in Public HealthIntroductionThis study analyzes how a health authority's quality standard influences a pharmaceutical firm's R&D investment timing, comparing this decentralized process with a social planner's integrated approach.MethodsDrug quality evolves as a ...
Wei Wei
doaj +2 more sources
Approximation of optimal stopping problems
Stochastic Processes and their Applications, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kühne, Robert, Rüschendorf, Ludger
openaire +3 more sources
On Optimal Ordering in the Optimal Stopping Problem [PDF]
Proceedings of the 21st ACM Conference on Economics and Computation, 2020 In the classical optimal stopping problem, a player is given a sequence of random variables $X_1\ldots X_n$ with known distributions. After observing the realization of $X_i$, the player can either accept the observed reward from $X_i$ and stop, or reject the observed reward from $X_i$ and continue to observe the next variable $X_{i+1}$ in the sequence.
Shipra Agrawal 0001 +2 more
openaire +2 more sources