Discounted optimal stopping problems in first-passage time models with random thresholds
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.85
Abstract: Abstract We derive closed-form solutions to some discounted optimal stopping problems related to the perpetual American cancellable dividend-paying put and call option pricing problems in an extension of the Black–Merton–Scholes model. The cancellation times are… read more here.
Keywords: discounted optimal; optimal stopping; problems first; stopping problems ... See more keywords
Event-Driven Nonlinear Discounted Optimal Regulation Involving a Power System Application
Sign Up to like & getrecommendations! Published in 2017 at "IEEE Transactions on Industrial Electronics"
DOI: 10.1109/tie.2017.2698377
Abstract: By employing neural network approximation architecture, the nonlinear discounted optimal regulation is handled under event-driven adaptive critic framework. The main idea lies in adopting an improved learning algorithm, so that the event-driven discounted optimal control… read more here.
Keywords: system; optimal regulation; event driven; discounted optimal ... See more keywords