Optimal stopping time
The Optimal Stopping Time for Selling an Asset When It Is Uncertain Whether the Price Process Is Increasing or Decreasing When the Horizon Is Infinite
... the optimal stopping time ...of optimal stopping time and considered a set of optimal stopping time prob- lems in areas such as mathematical statistics, ...
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Optimal Stopping Time for Holding an Asset
... the optimal time to sell an asset that its price conforms to the Black-Schole model but its drift is a discrete random variable taking one of two given values and this probability dis- tribution behavior ...
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Optimal Stopping Time to Buy an Asset When Growth Rate Is a Two State Markov Chain
... the optimal time to sell a property while price growth rate is a random variable that takes the value of the given ...a time I do not know the accuracy of price growth rate and the probability of ...
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Deep Optimal Stopping
... theory, optimal stopping problems with finitely many stopping opportunities can be solved ...The optimal value is given by the smallest supermartingale that domi- nates the reward process – ...
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From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
... between optimal stopping and Sko- rokhod embedding are not new in the literature and there are examples relative for in- stance to the Az´ema-Yor’s embedding [1] (see [18], [22], [24] and [25] among others) ...
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Optimal Selling Rule in a Regime Switching Lévy Market
... infinite time horizon ...corresponding optimal selling with a finite ...this optimal stopping time problem is the unique viscosity solution to the associ- ated HJB variational ...
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Optimal stopping in Levy models, for non monotone discontinuous payoffs
... to optimal stopping problems based on the representation of an instantaneous payoff as the expected present value (EPV) of a payoff ...the optimal stopping time in the class of ...
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An optimal stopping problem in the stochastic Gilpin Ayala population model
... the optimal stopping time for the stochastic Gilpin-Ayala model [–], whose solution is a diffusion process, is introduced, and the explicit expressions for the value functions and the boundaries in ...
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Optimal stopping and the sufficiency of randomised threshold strategies
... Given that the value associated with a stopping rule is law invariant, one natural approach to finding the optimal stopping time is to try to characterize Q(S) . Often, the best way to do this ...
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Optimal investment with stopping in finite horizon
... an optimal stopping time point has been extensively stud- ied for pricing American-style options, which allow option holders to exercise the options before or at the ...an optimal ...
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Optimal Stopping and Utility in a Simple Model of Unemployment Insurance
... including optimal stopping ...the optimal stopping time may be interpreted as the time to suspend the current trading if the situation is unfavorable, and to recalculate ...
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Dynamic Integration of Interpolating Functions and Some Concrete Optimal Stopping Problems »
... small time step T v this law is concentrated almost exclusively in some small neigh- borhood of the node x k , when this node happens to be very close to the border of the interpolation region, the computation of ...
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From the decompositions of a stopping time to risk premium decompositions*
... default time): the knowledge of the default compensator or the intensity process is not anymore a sufficient quantity for finding explicit prices, but we need indeed the Az´ ema supermartingale and its Doob-Meyer ...
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Monotonicity of the value function for a two dimensional optimal stopping problem
... Our technique is based on time-change and coupling. Equation (1.1) goes back to a volatility model used by Hobson in [6] who also applies time-change and coupling but for comparing prices of European ...
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Applying Optimal Stopping Theory to Improve the Performance of Ontology Refinement Methods
... response time also limit the number of sources that can be included in a feasible manner, as well as the amount of information that can be pro- cessed from a single ...the optimal allocation of scarce ...
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Applying Optimal Stopping for Optimizing Queries to External Semantic Web Resources
... Optimizing value under scare resources is a classical problem from economics and highly related to decision theory. Applying these concepts to the information systems research domain yields important strategies for ...
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Boosted Kernel Ridge Regression: Optimal Learning Rates and Early Stopping
... based stopping rules were presented for general spectral algorithms and kernel-based partial least ...adaptive stopping rule was deduced for the kernel-based gradient descent algorithm under the regularity ...
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Sequential point and interval estimation of scale parameter of exponential distribution
... Here we derive exact expressions for the stopping time and confidence coefficient of the fixed-width interval estimation procedure and for the stopping time associted with point estimati[r] ...
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DYNAMIC PROGRAMMING – ITS PRINCIPLES, APPLICATIONS, STRENGTHS, AND LIMITATIONS
... What kinds of problems can be solved using Dynamic Programming? Evidently, the answer is optimization problems. But the optimal solution involves solving a subproblem, and then it uses the optimal solution ...
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Integrated Collective Node Behaviour Analysis with Onion Protocol for Best and Secured Transmission
... In the year 2014 Qinghua Li, Guohong Cao, Guohong Cao proposed an efficient protocol to obtain the Sum aggregate, which employs an additive homomorphic encryption and a novel key management technique to support large ...
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