Results 21 to 30 of about 800 (211)
Los valores del juego de parada óptima para medias aritméticas de variables de Bernoulli
Revista de Matemática: Teoría y Aplicaciones, 2009 We study optimal stopping problems for generalized averages of identically distributed Bernoulli variables, taking values in the set D = {d0, d1}. We obtain a recurrent formula in the finite horizon case, which gives the value of the game in terms of ...
Jaime Lobo Segura, Santiago Cambronero
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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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Optimally Stopped Optimization
Physical Review Applied, 2016 We combine the fields of heuristic optimization and optimal stopping. We propose a strategy for benchmarking randomized optimization algorithms that minimizes the expected total cost for obtaining a good solution with an optimal number of calls to the solver.
Vinci, Walter, Lidar, Daniel A.
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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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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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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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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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The Extended David-Yechiali Rule for Kidney Allocation
Mathematics, 2023 The First Come First Served (FCFS) queuing policy is routinely assumed to be the benchmark policy for “fairness” in waiting-time performance. In this article, we propose a slight modification of the FCFS policy based on a natural extension of the well ...
Amir Elalouf +2 more
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A Problem in Optimal Search and Stop [PDF]
Operations Research, 1969 We are told that an object is hidden in one of m(m < ∞) boxes and we are given prior probabilities pi0 that the object is in the ith box. A search of box i costs ci and finds the object with probability α, if the object is in the box. Also, we suppose that a reward Ri is earned if the object is found in the ith box.
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