Zobrazeno 1 - 10
of 7 838
pro vyhledávání: '"optimal stopping problem"'
Autor:
Choulli, Tahir1 (AUTHOR) tchoulli@ualberta.ca, Alsheyab, Safa'2 (AUTHOR) smalsheyab6@just.edu.jo
Publikováno v:
Mathematics (2227-7390). May2024, Vol. 12 Issue 9, p1273. 15p.
Autor:
Mackay, Anne, Vachon, Marie-Claude
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity (VA) contract with guaranteed minimum maturity benefit, under the assumption that
Externí odkaz:
http://arxiv.org/abs/2311.03538
Autor:
Choulli, Tahir, Alsheyab, Safa'
This paper considers a pair $(\mathbb{F},\tau)$, where $\mathbb{F}$ is a filtration representing the "public" flow of information which is available to all agents overtime, and $\tau$ is a random time which might not be an $\mathbb{F}$-stopping time.
Externí odkaz:
http://arxiv.org/abs/2301.09836
Autor:
Dong, Yuchao
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a transformat
Externí odkaz:
http://arxiv.org/abs/2208.02409
The optimal stopping problem is a category of decision problems with a specific constrained configuration. It is relevant to various real-world applications such as finance and management. To solve the optimal stopping problem, state-of-the-art algor
Externí odkaz:
http://arxiv.org/abs/2208.00765
Autor:
EISENBERG, BENNETT
Publikováno v:
Mathematics Magazine, 2021 Oct 01. 94(4), 281-287.
Externí odkaz:
https://www.jstor.org/stable/48665825
Autor:
Tahir Choulli, Safa’ Alsheyab
Publikováno v:
Mathematics, Vol 12, Iss 9, p 1273 (2024)
This paper considers a pair (F,τ), where F is a filtration representing the “public” flow of information that is available to all agents over time, and τ is a random time that might not be an F-stopping time. This setting covers the case of a c
Externí odkaz:
https://doaj.org/article/483183d6308546b58026bc66b0498ce2
Autor:
Li, Xiying, Lee, Chi-Guhn
Publikováno v:
In Expert Systems With Applications 30 November 2023 231
Autor:
YUCHAO DONG1 ycdong@tongji.edu.cn
Publikováno v:
SIAM Journal on Control & Optimization. 2024, Vol. 62 Issue 3, p1590-1614. 25p.
We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the stopped process
Externí odkaz:
http://arxiv.org/abs/2103.05736