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

We consider group decision-making 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

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 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

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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 high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping

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

................................................................. 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

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 method is proposed to solve optimal stopping problems. Several examples-classical and new ones- are discussed. Especially the values of American options (straddle and strangle) with infinite horizon are calculated.