Results 21 to 30 of about 173,418 (245)
A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options [PDF]
, 2007 Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time.
Egloff, Daniel +2 more
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Density-Based Multiscale Analysis for Clustering in Strong Noise Settings With Varying Densities
IEEE Access, 2018 Finding meaningful clustering patterns in data can be very challenging when the clusters are of arbitrary shapes, different sizes, or densities, and especially when the data set contains high percentage (e.g., 80%) of noise.
Tian-Tian Zhang, Bo Yuan
doaj +1 more source
Bayesian sequential testing of the drift of a Brownian motion [PDF]
, 2015 We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior distributions.
Ekström, Erik, Vaicenavicius, Juozas
core +2 more sources
Second order reflected backward stochastic differential equations [PDF]
, 2013 In this article, we build upon the work of Soner, Touzi and Zhang [Probab. Theory Related Fields 153 (2012) 149-190] to define a notion of a second order backward stochastic differential equation reflected on a lower c\`adl\`ag obstacle.
Matoussi, Anis +2 more
core +3 more sources
Optimal stopping under adverse nonlinear expectation and related games [PDF]
, 2015 We study the existence of optimal actions in a zero-sum game $\inf_{\tau}\sup_PE^P[X_{\tau}]$ between a stopper and a controller choosing a probability measure.
Nutz, Marcel, Zhang, Jianfeng
core +1 more source
Joint Channel Probing and Proportional Fair Scheduling in Wireless Networks [PDF]
, 2010 The design of a scheduling scheme is crucial for the efficiency and user-fairness of wireless networks. Assuming that the quality of all user channels is available to a central controller, a simple scheme which maximizes the utility function defined as ...
Fan, Pingyi, Guo, Dongning, Zhou, Hui
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Optimal multiple stopping time problem
, 2011 We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward $\phi$ such that
Kobylanski, Magdalena +2 more
core +3 more sources
Multisource Bayesian sequential change detection
, 2008 Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time.
Dayanik, Savas +2 more
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Some remarks on first passage of Levy processes, the American put and pasting principles [PDF]
, 2005 The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and ...
Alili, L., Kyprianou, A. E.
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On the Wiener disorder problem [PDF]
, 2009 In the Wiener disorder problem, the drift of a Wiener process changes suddenly at some unknown and unobservable disorder time. The objective is to detect this change as quickly as possible after it happens.
Sezer, Semih Onur
core +1 more source