Results 21 to 30 of about 344,723 (279)
Métodos no estándar en el problema de la parada óptima
Revista de Matemática: Teoría y Aplicaciones, 2009 We analize the optimal-stopping ploblem by the use of non standard analysis techniques. Using the non standard concept of quasi-optimal time, we prove the existence of optimal times for the problems of finite and infinite horizon .
Jaime Lobo Segura
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Pricing Multidimensional American Options
International Journal of Financial Studies, 2023 A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are
Elettra Agliardi, Rossella Agliardi
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On the value of optimal stopping games [PDF]
, 2006 We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.
Ekstrom, Erik +2 more
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Methodology for determining the optimal parameters of a public transport stop point
Интеллект. Инновации. Инвестиции, 2022 The article describes a study to determine the optimal parameters of a public transport stop. One of the directions of state policy in the field of transport services for the population in cities is the development and priority of public transport ...
А. A. Fadyushin
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Zero-sum stopping games with asymmetric information [PDF]
, 2017 We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only by player 2, implying that the players ...
Gensbittel, Fabien, Grün, Christine
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An Optimal Decision Rule for a Multiple Selling Problem with a Variable Rate of Offers
Mathematics, 2020 An asset selling problem is one of well-known problems in the decision making literature. The problem assumes a stream of bidders who would like to buy one or several identical objects (assets).
Georgy Sofronov
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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 Save-Then-Transmit for Random Energy Harvesting Communications: An Optimal Stopping Approach
IEEE Access, 2017 Energy harvesting (EH) from renewable energy sources is more environmental friendly and convenient than the conventional energy supplies. This paper considers a point-to-point channel with the transmitter powered by random energy harvester, for which the
Linsong Du, Qiang Li, Chuan Huang
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Understanding gambling behaviour and risk attitudes using cryptocurrency-based casino blockchain data [PDF]
Royal Society Open Science, 2020 The statistical concept of gambler’s ruin suggests that gambling has a large amount of risk. Nevertheless, gambling at casinos and gambling on the Internet are both hugely popular activities.
Jonathan Meng, Feng Fu
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Combined Games with Randomly Delayed Beginnings
Mathematics, 2021 This paper presents two-person games involving optimal stopping. As far as we are aware, the type of problems we study are new. We confine our interest to such games in discrete time. Two players are to chose, with randomised choice-priority, between two
F. Thomas Bruss
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