Zobrazeno 1 - 10
of 2 471
pro vyhledávání: '"double stopping"'
Autor:
Sofronov, Georgy Yu.1 (AUTHOR) georgy.sofronov@mq.edu.au
Publikováno v:
Methodology & Computing in Applied Probability. Mar2020, Vol. 22 Issue 1, p1-12. 12p.
Autor:
Gapeev, Pavel V.1 (AUTHOR) p.v.gapeev@lse.ac.uk, Kort, Peter M.2,3 (AUTHOR), Lavrutich, Maria N.4 (AUTHOR), Thijssen, Jacco J. J.5 (AUTHOR)
Publikováno v:
Methodology & Computing in Applied Probability. Jun2022, Vol. 24 Issue 2, p789-813. 25p.
Publikováno v:
Advances in Applied Probability, 2015 Dec 01. 47(4), 1212-1234.
Externí odkaz:
http://www.jstor.org/stable/43860089
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by str
Externí odkaz:
http://arxiv.org/abs/1409.2226
We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$. Following the optimal one stopping time problem, we study the existence of optimal st
Externí odkaz:
http://arxiv.org/abs/0909.3363
Autor:
Szajowski, K.
Publikováno v:
Advances in Applied Probability, 1993 Jun 01. 25(2), 438-452.
Externí odkaz:
https://www.jstor.org/stable/1427661
Publikováno v:
In Comptes rendus - Mathématique 2010 348(1):65-69
Publikováno v:
Methodology and Computing in Applied Probability, 24, 789-813. Springer Netherlands
Methodology and computing in applied probability
Methodology and Computing in Applied Probability
Methodology and computing in applied probability
Methodology and Computing in Applied Probability
We present closed-form solutions to some double optimal stopping problems with payoffs representing linear functions of the running maxima and minima of a geometric Brownian motion. It is shown that the optimal stopping times are th first times at wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23c707abca68db67a87cf2bacf81e68e
https://research.tilburguniversity.edu/en/publications/416d93cb-af0b-4527-821f-8958055b0553
https://research.tilburguniversity.edu/en/publications/416d93cb-af0b-4527-821f-8958055b0553