Results 11 to 20 of about 800 (211)
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
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Interpretable Optimal Stopping [PDF]
SSRN Electronic Journal, 2018 Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare, and marketing. State-of-the-art methods for high-dimensional optimal stopping involve approximating the value function or the continuation value and then using that approximation
Dragos Florin Ciocan, Velibor V. Misic
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Optimal Stopping of the Maximum Process [PDF]
Journal of Applied Probability, 2014 We consider a class of optimal stopping problems involving both the running maximum as well as the prevailing state of a linear diffusion. Instead of tackling the problem directly via the standard free boundary approach, we take an alternative route and present a parameterized family of standard stopping problems of the underlying diffusion.
Alvarez Esteban Luis Hernan Radomiro +1 more
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Two-choice optimal stopping [PDF]
Advances in Applied Probability, 2004 Let X n ,…, X 1 be independent, identically distributed (i.i.d.) random variables with distribution function F .
David Assaf +2 more
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Optimal stopping with randomly arriving opportunities to stop
, 2023 We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on random rather than deterministic time scales.
Dekker, Josha A. +3 more
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Optimal Stopping with Private Information [PDF]
SSRN Electronic Journal, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Kruse, Philipp Strack
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The Annals of Probability, 1980 An urn contains $N$ objects, labelled with the integers $1, \cdots, N$. One object is removed at a time, without replacement. If after $n$ draws the largest number which has been observed is $m_n$, and the process is terminated, we receive a payoff $f(n, m_n)$. For payoff functions $f$ in a certain class, the optimal time to stop is with draw $$\tau_f =
Chen, Wen-chen, Starr, Norman
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Martingale Optimal Transport with Stopping [PDF]
SSRN Electronic Journal, 2017 Final version. To appear in SIAM Journal on Control and Optimization. Keywords: nonlinear Martingale optimal transport, dynamic programming, optimal stopping, stochastic Perron's method, viscosity solutions, state constraints, exit time problem, concave envelope, distribution ...
Erhan Bayraktar +2 more
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Concentration Inequalities and Optimal Number of Layers for Stochastic Deep Neural Networks
IEEE Access, 2023 We state concentration inequalities for the output of the hidden layers of a stochastic deep neural network (SDNN), as well as for the output of the whole SDNN.
Michele Caprio, Sayan Mukherjee
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