Optimal Stopping Problem
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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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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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 exactly solvable multiple stochastic optimal stopping problem
... present optimal stopping problem to a series of variational inequalities ...multiple optimal stopping problem, turn out to be exactly ...ecological problem are briefly ...
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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
... Chapter 2 In this chapter we study the pricing of American Strangle options when the underlying uncertainty is modeled by spectrally negatiw Levy processes, that is the optimal stopping [r] ...
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Some remarks on first passage of Lévy processes, the American put and pasting principles
... of stopping times T and smooth function G are such that u is well ...the optimal strategy corresponds to the partitioning of the domain of X into two regions, say, C and S = C c , and stopping as ...
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Optimal Selling Rule in a Regime Switching Lévy Market
... an optimal selling rule among the class of almost all stopping times under a regime switching L´evy ...a stopping time so as to maximize an expected return. The optimal stopping ...
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On properties of the American put option under several models
... the problem of American option valuation under the BNS ...put problem in both finite and infinite ...the stopping region of the optimal stopping problem is charac- terised by a ...
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On the regularity of American options with regime switching uncertainty
... In this section, we assume that a and µ are both in product form and give conditions under which the function V l in (1.6) is the value function of an optimal stopping problem associated with an ...
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Dynkin game under g-expectation in continuous time
... of problem. Since this stopping game problem is an extension of the optimal stopping problem, the martingale approach has been used to find a pair of saddle point, and then the ...
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Deep Optimal Stopping
... the stopping decision can only be made at finitely many ...time stopping problems can be approximated with time-discretized ...every optimal stopping problem can be made Markov by ...
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Optimal Stopping of a Risk Process when Claims are Covered immediately
... Abstract. The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims ...
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Optimal stopping investment in a logarithmic utility-based portfolio selection problem
... mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes and give some properties of the value ...the optimal stopping problems for one ...
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Approximate Guarantee for Approximate Dynamic Programming
... approximating optimal stopping ...The optimal stopping problem takes the view of the customer that seeks the optimal strategy to minimise its ...the problem is formulated ...
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Optimal stopping problems in mathematical finance
... the optimal stopping problem related to the perpetual American put option in a dividend-free model with piecewise-constant volatility ...inverse problem of recovering the volatility rate of ...
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Power Minimization through Packet Retention in Cognitive Radio Sensor Networks under Interference and Delay Constraints: An Optimal Stopping Approach
... the problem of packets retention in a queue with the aim of minimizing transmission power in delay-tolerant ...The problem is classified as an optimal stopping ...The optimal ...
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On Lipschitz Continuous Optimal Stopping Boundaries
... a problem of singular stochastic con- trol which is equivalent to one of optimal stopping of the form ...the optimal boundary as a real-valued, Lipschitz continuous function on [0, T ] × R d−1 ...
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Optimal stopping and the sufficiency of randomised threshold strategies
... related optimal stopping problem with probability weighting based on a diffusion ...perpetual problem the agent chooses a randomized pair of levels and then follows a threshold strategy based ...
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The dividend problem with a finite horizon
... related optimal stopping problem with a pe- culiar boundary condition at 0, and we state our main result, Theorem ...the optimal stopping problem in Section 4 by proving ...
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