Optimal Stopping Problems in Lévy Models with Random Observations
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DOI: 10.1007/s10440-018-0212-z
Abstract: In the standard optimal stopping problems, actions are artificially restricted to the moments of observations of costs or benefits. In the standard experimentation and learning models based on two-armed Poisson bandits, it is possible to… read more here.
Keywords: random observations; models random; optimal stopping; stopping problems ... See more keywords
On time-inconsistent stopping problems and mixed strategy stopping times
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DOI: 10.1016/j.spa.2019.08.010
Abstract: Abstract A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows… read more here.
Keywords: strategy stopping; inconsistent stopping; mixed strategy; time ... See more keywords
Discrete-type approximations for non-Markovian optimal stopping problems: Part I
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DOI: 10.1017/jpr.2019.57
Abstract: Abstract We present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variational inequalities which allow us to… read more here.
Keywords: discrete type; non markovian; markovian optimal; optimal stopping ... See more keywords
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