Results 81 to 90 of about 14,688,294 (200)

Stopping times occurring simultaneously

ESAIM: Probability and Statistics
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. This is a widely useful assumption, but there are circumstances where it seems to be unnecessarily strong.
Philip Protter, Alejandra Quintos
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Stopping Times of Bessel Processes

The Annals of Probability, 1987
Let \(X^ x_{\alpha}\) be a Bessel process with parameter \(\alpha\), starting at \(x\geq 0\). \textit{L. Gordon} [Ann. Math. Stat. 43, 1927-1934 (1972; Zbl 0267.60046)] obtained \(L^ p\) inequalities which relate stopping times to stopping places for the case \(\alpha =1\), \(x=0\) and \(p>\). \textit{W. A. Rosenkrantz} and \textit{S.
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A Note on the Variance of a Stopping Time

The Annals of Statistics, 1987
Let \(\{S_ n=\sum^{n}_{1}X_ i\}_{n\geq 0}\) be a random walk with \(\mu =E X_ i>0\) and \(\sigma\) \(2=Var X_ ib\}\) be the hitting time of the set (b,\(\infty)\). \textit{T. L. Lai} and \textit{D. Siegmund} [Ann. Stat. 7, 60-76 (1979; Zbl 0409.62074)] showed that Var \(\tau\) (b)\(=b \sigma\) 2/\(\mu\) \(3+K/\mu\) \(2+o(1)\) as \(b\to \infty\), and ...
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An optimal stopping problem in a diffusion-type model with delay [PDF]

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free-boundary problem and
Pavel V. Gapeev, Markus Reiß
core  

Optimal stopping made easy [PDF]

This paper presents a simple discrete time model for valuing real options. A short proof of optimal exercise rules for the standard problems in the real options theory is given in the binomial and trinomial models, and more generally, when the underlying
Sergey Levendorskiy, Svetlana Boyarchenko   +1 more
core  

Monolayer and Bilayer MoS₂ Under Proton Irradiation: Electronic Stopping and Charge Capture Revealed by Real-Time TDDFT

Electronic Materials
Monolayer and few-layer MoS2 are promising two-dimensional electronic materials, but proton irradiation can trigger ultrafast electronic excitation and charge transfer before defect formation.
Ligang Wang, Guanxiang Yang, Lihongye Liao, Qiang Zhao   +3 more
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Three-Dimensional Brownian Motion and the Golden Ratio Rule [PDF]

Let X =(Xt)t=0 be a transient diffusion processin (0,8) with the diffusion coeffcient s> 0 and the scale function L such that Xt ?8 as t ?8 ,let It denote its running minimum for t = 0, and let ? denote the time of its ultimate minimum I8 .Setting c(i,x)=
Hardy Hulley, Kristoffer Glover, Goran Peskir   +2 more
core  

A Theorem on Stopping Times

The Annals of Mathematical Statistics, 1964
Blumenthal, R. M., Getoor, R. K.
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Exercise Strategies for American Exotic Options under Ambiguity [PDF]

We analyze several exotic options of American style in a multiple prior setting and study the optimal exercise strategy from the perspective of an ambiguity averse buyer in a discrete time model of Cox–Ross–Rubinstein style.
Tatjana Chudjakow, Jörg Vorbrink
core  

Path-dependent electronic stopping for self-irradiated silicon

Communications Materials
The experimentally validated real-time time-dependent density-functional theory (rt-TDDFT) provides a robust framework for studying electronic stopping.
Rafael Nuñez-Palacio, Andrea E. Sand
doaj   +1 more source