Results 31 to 40 of about 78,187 (304)
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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Optimal stopping with signatures
, 2023 We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process. We consider classic and randomized stopping times represented by linear functionals
Bayer, Christian +3 more
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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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Pathwise inequalities for local time : applications to skorokhod embeddings and optimal stopping [PDF]
, 2007 We develop a class of pathwise inequalities of the form H(B-t) >= M-t + F(L-t), where B-t is Brownian motion, L-t its local time at zero and M-t a local martingale.
Hobson, David (David G.) +9 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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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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Randomized Policy Optimization for Optimal Stopping
SSRN Electronic Journal, 2022 65 pages, 1 ...
Xinyi Guan, Velibor V. Misic
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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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