MDP as optimal stopping problem and contribution
An exactly solvable multiple stochastic optimal stopping problem
... The main difference between the present model and the existing models [8–11] is that the former has an ecological background, while the latter have the financial backgrounds. In addition, the performance indices to be ...
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We model the decision-making process of callers in call centers as an optimal stopping problem. After each
... parameters using the maximum likelihood estimation (MLE) approach. The main contribution of this paper is to develop a simple model that endogenizes and explains the abandonment behavior of callers. Using our ...
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American option: an optimal stopping problem
... the problem of pricing the perpetual American options can be treated as an optimal stopping ...the optimal solutions. We consider the option price, stopping time, strike price and ...
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Optimal multiple stopping time problem
... the optimal one stopping time problem for admissible ...of optimal stopping times when the family φ is right and left continuous in expectation along stopping ...minimal ...
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Numerical methods for an optimal multiple stopping problem
... Indeed optimal quantization brought a natural answer to the conditional ex- pectation computations appearing in these financial models (see for example Guilbaud et ...an optimal order execution ...
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Optimal multiple stopping problem and financial applications
... d’arrˆet optimal multiple revient `a r´esoudre une suite de probl`eme de temps d’arrˆet optimal ...d’arrˆet optimal ordinaire comme l’unique solution de vis- cosit´e de l’in´equation variationnelle ...
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Optimal multiple stopping problem and financial applications
... the problem of optimal multiple stopping time where the underlying process is ...multiple stopping time as the solution of a sequence of ordinary stopping time ...
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The Optimal Stopping Problem of Dupuis and Wang: A Generalization
... the optimal stopping problem ...the optimal stopping rule and the optimal value function for ...other optimal stopping problem, namely the problem ...
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THE FORMULATION AND METHOD OF SOLUTION OF OPTIMAL STOPPING PROBLEM.
... of optimal stopping usually concerned with the problem that choosing a specific time to take a particular action, theses type of problems known as optimal stopping problems ...An ...
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An optimal stopping problem in a diffusion-type model with delay
... an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay ...initial problem to a free-boundary problem and solving the ...
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An optimal stopping problem in the stochastic Gilpin Ayala population model
... However, the population systems are affected by random disturbances such as environ- ment effects, financial events and so on in the real world. In order to fit the real world better, the white noise is introduced into the ...
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Monotonicity of the value function for a two dimensional optimal stopping problem
... boundary problem becomes a lot easier if we know that the continuation region is monotonic in y and if we know that the corresponding free-boundary is continu- ...put problem corresponding to model ...
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On the optimal stopping problem driven by spectrally negative Lévy processes
... corresponding candidate pair (VT(x), T) is a solution to the optimal stopping problem (by guess and verification lemma), then, by the uniqueness of the value function, all.. condit[r] ...
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A General Optimal Multiple Stopping Problem with an Application to Swing Options
... the problem of optimal multiple stopping time where the underlying process is ...the optimal multiple stopping time as the solution of a sequence of ordinary stopping time ...an ...
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Optimal stopping investment in a logarithmic utility-based portfolio selection problem
... The problem is formulated as an optimal stopping problem, although it is non-standard in the sense that the maximum wealth involved is not adapted to the information generated over ...
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Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory
... Introduction Optimal control and optimal stopping problems over a finite or an infinite time horizon for Itˆ o’s diffusion processes arise in many areas of science, engineering, and finance (see ...
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Deep Optimal Stopping
... for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo ...the problem of optimally stopping a fractional Brownian ...
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Optimal Stopping in Software Testing
... the problem of how to decide when to terminate the testing/modification process and to release the software during the development ...the optimal release problem as a sequential decision ...ahead ...
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Optimal stopping under ambiguity
... of optimal stopping in continuous time can be found in Nishimura and Ozaki (2007) who solve the optimal stopping problem for an American Option when the drift term is ...
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A non convex singular stochastic control problem and its related optimal stopping boundaries
... of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary stopping ...
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