Results 31 to 40 of about 344,723 (279)
Optimal double stopping time [PDF]
, 2009 We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$.
Kobylanski, Magdalena +2 more
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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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Optimal decision under ambiguity for diffusion processes
, 2012 In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process.
Christensen, Sören
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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. Mišić
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Asymptotic Duration for Optimal Multiple Stopping Problems
MathematicsWe study the asymptotic duration of optimal stopping problems involving a sequence of independent random variables that are drawn from a known continuous distribution.
Hugh N. Entwistle +2 more
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A note on dilations and martingales
International Journal of Mathematics and Mathematical Sciences, 1993 The purpose of this note is to investigate the effect of dilations on martingales and to give conditions under which a dilated martingale will retain the martingale property.
Martin L. Jones
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An Empirical Study on the Correlation between Early Stopping Patience and Epochs in Deep Learning [PDF]
ITM Web of ConferencesEarly stopping is a technique used to prevent overfitting in deep learning models by stopping the training process when the validation loss stops improving.
Hussein Bootan M., Shareef Shareef M.
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An exactly solvable multiple stochastic optimal stopping problem
Advances in Difference Equations, 2018 A new kind of multiple stochastic optimal stopping problem is formulated and its associated recursive variational inequalities are derived. We show that these variational inequalities can be solved exactly in a cascading manner.
Hidekazu Yoshioka
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Time-Consistent Optimal Stopping [PDF]
SSRN Electronic Journal, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Annals of Mathematical Statistics, 1966 This paper considers the following problem. One takes independent and identically distributed observations from a population obeying a probability law $F_\theta(x)$. However, one does not know $F_\theta(x)$. What is known is a family of distribution functions $\Theta = \{F_\theta(x)\}$ and one assumes that there exists a prior probability measure $\mu ...
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