Zobrazeno 1 - 10
of 2 068
pro vyhledávání: '"60G40"'
Autor:
Salminen, Paavo, Vallois, Pierre
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the first drawdown time and the maximum before this time, and of Malyutin
Externí odkaz:
http://arxiv.org/abs/2411.18374
The Airy line ensemble is a random collection of continuous ordered paths that plays an important role within random matrix theory and the Kardar-Parisi-Zhang universality class. The aim of this paper is to prove a universality property of the Airy l
Externí odkaz:
http://arxiv.org/abs/2411.17827
Autor:
Schultz, Boy
We conduct an investigation of the differentiability and continuity of reward functionals associated to Markovian randomized stopping times. Our focus is mostly on the differentiability, which is a crucial ingredient for a common approach to derive a
Externí odkaz:
http://arxiv.org/abs/2411.11393
Autor:
Crocce, Fabian, Mordecki, Ernesto
Consider the discounted optimal stopping problem for a real valued Markov process with only positive jumps. We provide a theorem to verify that the optimal stopping region has the form {x >= x^*} for some critical threshold x^*, and a representation
Externí odkaz:
http://arxiv.org/abs/2411.08796
Zero-sum Dynkin games under the Poisson constraint have been studied widely in the recent literature. In such a game the players are only allowed to stop at the event times of a Poisson process. The constraint can be modelled in two different ways: e
Externí odkaz:
http://arxiv.org/abs/2411.07134
Autor:
Derbazi, Zakaria
Consider the optimal stopping problem of maximising the expected payoff from selecting the last success in a sequence of independent Bernoulli trials. The total positivity of the Markov chain embedded in the success epochs of the trials is exploited
Externí odkaz:
http://arxiv.org/abs/2411.07103
Autor:
Ekström, Erik, Wang, Yuqiong
We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of payoffs, allowing e.g. for different investment costs, and (ii) consol
Externí odkaz:
http://arxiv.org/abs/2411.04802
Autor:
Moriarty, John, Rodosthenous, Neofytos
We introduce a novel 'one-shot' solution technique resolving an open problem (Karatzas et al., Finite-fuel singular control with discretionary stopping, Stochastics 71:1-2 (2000)). Unexpectedly given the convexity of the latter problem, its waiting r
Externí odkaz:
http://arxiv.org/abs/2411.04301
We obtain a verification theorem for solving a Dynkin game driven by a L\'evy process. The result requires finding two averaging functions that, composed respectively with the supremum and the infimum of the process, summed, and taked the expectation
Externí odkaz:
http://arxiv.org/abs/2410.23509
Autor:
Bovo, Andrea, De Angelis, Tiziano
We prove existence of a value for two-player zero-sum stopper vs. singular-controller games on finite-time horizon, when the underlying dynamics is one-dimensional, diffusive and bound to evolve in $[0,\infty)$. We show that the value is the maximal
Externí odkaz:
http://arxiv.org/abs/2409.06049