stopping time
On Martingales and the Use of Optional Stopping Theorem to Determine the Mean and Variance of a Stopping Time
... Abstract: This paper examines the roles martingale property played in the use of optional stopping theorem (OST). It also examines the implication of this property in the use of optional stopping theorem ...
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From the decompositions of a stopping time to risk premium decompositions*
... default time is not observable, and then obtain the market filtration after progressively enlarging the original filtration so that the default time becomes a stopping ...
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Optimal Stopping Time for Holding an Asset
... 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 changes ...
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Optimal Stopping Time to Buy an Asset When Growth Rate Is a Two State Markov Chain
... 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 receiving a ...
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On the compensator of the default process in an information-based model
... Non-trivial and sufficient conditions for making the default time a predictable stopping time will be considered in another paper, (Bedini and Hinz 2017). Other top- ics related to Brownian bridges ...
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Optimal investment with stopping in finite horizon
... The initial motivation of this paper comes from our recent studies on choosing an opti- mal point at which an investor stops investing and/or sells all his risky assets (see Choi, Koo and Kwak [] and Henderson and ...
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Sequential risk efficient estimation of the parameter in the uniform density
... the stopping time and derive its expectation and ...expected stopping time and its standard deviation for some selected values of the ...
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Well posedness of the stochastic Boussinesq equation driven by Levy processes
... adopt a special type of solution definition (fragile solution) to conquer low regularity, then we apply it successfully by obtaining well-posedness and studying statistically asymptotic behavior. To accomplish this, we ...
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Deep Optimal Stopping
... optimal stopping problems with finitely many stopping opportunities can be solved ...optimal stopping time is the first time the immediate reward dominates (exceeds) the continuation ...
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On stopping Fock space processes
... The extension of the notion of stopping time from classical to non-commutative probability is straightforward, with the earliest definition in the literature due to Hudson [20]. The idea was developed in the ...
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Analytical Valuation of Contingent Claims by Stochastic Interacting Systems for Stock Market
... including stopping time theory and stochastic voter model, we model a financial stock price model that contains two types of investors, and we use this financial model to describe the behavior and ...
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On the optimal exercise boundaries of swing put options
... of time- dependent optimal stopping boundaries for multiple stopping problems, the mathematical in- terest in the specific problem ...of stopping boundaries for finite horizon problems with a ...
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On a random number of disorders
... disorder time and the moment of its detection was ...the stopping time which is in a given neighborhood of the moment of disorder with maximal probability was ...optimal stopping the ...
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Time randomized stopping problems for a family of utility functions
... terminal time problem. There is an obvious reciprocity within the fixed time deadline and randomized set-up problems with power functions U ( x ...terminal stopping time, is modelled as the n ...
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Manuscript Title & Authors
... classical stopping time in Brownian motion to a stopping line in set indexed Brownian ...random stopping time is a central component to the study of stochastic ...of stopping ...
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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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A FRAMEWORK FOR APPLYING SURROGATE SAFETY MEASURES FOR SIDESWIPE CONFLICTS
... For this purpose first most important SSM are reviewed. Then TTC and PET as time-based indicators are selected for calculating the sideswipe collision risk. TTC referrers to an imminent danger and PET implies the ...
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On properties of the American put option under several models
... the stopping rule while others approximate the transition density by a discrete time Markov ...discrete time optimal stopping problem rather than a continuous time ...
146
Method of Controlling Movement of the Multi Degrees of Industrial Robot’s Joint
... and stopping at the same ...and stopping at same time of every joint of robot, but also adjust the moving speed of every joint of the robot, finally, let the robot of using the technology suitable in ...
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Pharmacokinetic interactions and tolerability of berberine chloride with simvastatin and fenofibrate: an open-label, randomized, parallel study in healthy Chinese subjects
... dose were randomly assigned to one of the five groups and accepted the corresponding drug on the morning of day 1. All treatments were carried out under an overnight-fasted condition along with 200 mL water and were ...
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