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Optimal Stopping Made Easy [PDF]

open access: possibleSSRN Electronic Journal, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Boyarchenko, S, Levendorskiǐ, S
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Optimal Stopping

Journal of Data and Information Quality, 2009
Record-linkage is the process of identifying whether two separate records refer to the same real-world entity when some elements of the record’s identifying information (attributes) agree and others disagree. Existing record-linkage decision methodologies use the outcomes from the comparisons of the whole set of attributes.
George V. Moustakides   +1 more
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On optimal stopping rules

Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, 1963
Let y 1,y 2, … be a sequence of random variables with a given joint distribution. Assume that we can observe the y’s sequentially but that we must stop some time, and that if we stop with yn we will receive a payoff x n = f n(y 1, …, y n). What stopping rule will maximize the expected value of the payoff?
Chow, Y. S., Robbins, H.
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Optimal Stopping Problems

2014
This chapter provides the foundations for the general theory of stochastic processes and optimal stopping problems. In Section 5.1, we elaborate on the concepts of s-algebras and information, probability spaces, uniform integrability, conditional expectations and essential supremum or infimum at an advanced level of probability theory.
Xiaoqiang Cai, Xianyi Wu, Xian Zhou
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Optimal Stopping Under Probability Distortions

Mathematics of Operations Research, 2017
In this paper we study optimal stopping problems with respect to distorted expectations with concave distortion functions. Our starting point is a seminal work of Xu and Zhou in 2013, who gave an explicit solution of such a stopping problem under a rather large class of distortion functionals. In this paper, we continue this line of research and prove
Belomestny, Denis, Krätschmer, Volker
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A Competitive Optimal Stopping Game

The B.E. Journal of Theoretical Economics, 2017
AbstractThis paper explores a multi-player game of optimal stopping over a finite time horizon. A player wins by retaining a higher value than her competitors do, from a series of independent draws. In our game, a cutoff strategy is optimal, we derive its form, and we show that there is a unique Bayesian Nash Equilibrium in symmetric cutoff strategies.
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