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pro vyhledávání: '"stopping times"'
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:
Hartmann, Carsten, Jöster, Annika
We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization techniques
Externí odkaz:
http://arxiv.org/abs/2402.08476
We study boundaries and their hitting times in the context of optimal stopping and Bermudan-style options. We prove the continuity of the map linking the boundary to the value of its associated stopping policy. While the supremum norm is used to comp
Externí odkaz:
http://arxiv.org/abs/2305.09766
Akademický článek
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Autor:
Lange, Rutger-Jan (AUTHOR), Ralph, Daniel (AUTHOR) d.ralph@jbs.cam.ac.uk, Støre, Kristian (AUTHOR) kristian.store@nord.no
Publikováno v:
Journal of Financial & Quantitative Analysis. Mar2020, Vol. 55 Issue 2, p653-677. 25p.
Autor:
Hambly, Ben, Meier, Julian
We prove existence and uniqueness of physical and minimal solutions to McKean-Vlasov equations with positive feedback through elastic stopping times. We do this by establishing a relationship between this problem and a problem with absorbing stopping
Externí odkaz:
http://arxiv.org/abs/2203.10787
Autor:
Zhang, Gongqiu1 (AUTHOR), Li, Lingfei2 (AUTHOR) lfli@se.cuhk.edu.hk
Publikováno v:
Finance & Stochastics. Jul2023, Vol. 27 Issue 3, p769-829. 61p.
Autor:
Protter, Philip, Quintos, Alejandra
Publikováno v:
ESAIM: PS 28 (2024) 110-131
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. This is a widely useful assumption, but there are circumstances where i
Externí odkaz:
http://arxiv.org/abs/2111.09458