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Approximation of optimal stopping problems
"... We consider optimal stopping of independent sequences. Assuming that the corresponding imbedded planar point processes converge to a Poisson process we introduce some additional conditions which allow to approximate the optimal stopping problem of the discrete time sequence by the optimal stopping o ..."
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Cited by 7 (4 self)
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We consider optimal stopping of independent sequences. Assuming that the corresponding imbedded planar point processes converge to a Poisson process we introduce some additional conditions which allow to approximate the optimal stopping problem of the discrete time sequence by the optimal stopping
Optimal Stopping Problems
"... We consider group decisionmaking on an optimal stopping problem, for which large and stable individual differences have previously been established. In the problem, people are presented with a sequence of five random numbers between 0 and 100, one at a time, and are required to choose the maximum o ..."
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We consider group decisionmaking on an optimal stopping problem, for which large and stable individual differences have previously been established. In the problem, people are presented with a sequence of five random numbers between 0 and 100, one at a time, and are required to choose the maximum
An optimal stopping problem for fragmentation processes
, 2011
"... In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to reduce it to a classical optimal stopping problem for a gen ..."
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In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to reduce it to a classical optimal stopping problem for a
American Options and Optimal Stopping Problems
, 2007
"... American options can be exercised at any time the holder wishes to do so before its expiry date. It therefore becomes important to know when this option should be exercised to maximize the profit. American options can therefore be implemented as optimal stopping problems. In this essay we shall disc ..."
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American options can be exercised at any time the holder wishes to do so before its expiry date. It therefore becomes important to know when this option should be exercised to maximize the profit. American options can therefore be implemented as optimal stopping problems. In this essay we shall
Pathwise optimization for optimal stopping problems
 Management Science
"... Abstract We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the 'price') of a highdimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problem ..."
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Cited by 8 (1 self)
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Abstract We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the 'price') of a highdimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping
On the optimal stopping problem for onedimensional diffusions
, 2002
"... A new characterization of excessive functions for arbitrary one–dimensional regular diffusion processes is provided, using the notion of concavity. It is shown that excessivity is equivalent to concavity in some suitable generalized sense. This permits a characterization of the value function of the ..."
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Cited by 73 (3 self)
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of the optimal stopping problem as “the smallest nonnegative concave majorant of the reward function ” and allows us to generalize results of Dynkin and Yushkevich for standard Brownian motion. Moreover, we show how to reduce the discounted optimal stopping problems for an arbitrary diffusion process
Optimal Stopping Problems for the Maximum Process
, 2013
"... COPYRIGHT Attention is drawn to the fact that copyright of this thesis rests with its author. This copy of the thesis has been supplied on the condition that anyone who consults it is understood to recognise that its copyright rests with its author and that no quotation from the thesis and no inform ..."
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Cited by 4 (1 self)
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................................................................. Curdin OttPer mamma e bapSUMMARY A cornerstone in the theory of optimal stopping for the maximum process is a result known as Peskir’s maximality principle. It has proved to be a powerful tool to solve optimal stopping problems involving the maximum process under the assumption that the driving process X
2 A Simple Optimal Stopping Problem
, 2007
"... In this note, we present some results on existence and characterization of solutions to some optimal stopping problems. The notes follow Brock, Rothschild and Stiglitz (1989), and Shiryayev (1978). ..."
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In this note, we present some results on existence and characterization of solutions to some optimal stopping problems. The notes follow Brock, Rothschild and Stiglitz (1989), and Shiryayev (1978).
A new look at optimal stopping problems . . .
"... A method is proposed to solve optimal stopping problems. Several examplesclassical and new ones are discussed. Especially the values of American options (straddle and strangle) with infinite horizon are calculated. ..."
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A method is proposed to solve optimal stopping problems. Several examplesclassical and new ones are discussed. Especially the values of American options (straddle and strangle) with infinite horizon are calculated.
Results 1  10
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122,405