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Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 33 for “"optimal stopping"”.
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Optimal Stopping and Experimental Design
Made available in DSpace on 2014-12-09T22:17:19Z (GMT). No. of bitstreams: 1 6503593.pdf: 1725253 bytes, checksum: 0c2d7dd03cbe9f534c020a082085aa6f (MD5) Previous issue date: 1964
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Some Aspects of Optimal Stopping Theory
Made available in DSpace on 2014-12-09T22:17:55Z (GMT). No. of bitstreams: 1 7013515.pdf: 4224001 bytes, checksum: 63732500684b43d7df4a2bee844ab973 (MD5) Previous issue date: 1969
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Dynamic optimal asset allocation with optimal stopping
We develop a model of optimal consumption, labor and portfolio choice with endogenous retirement for an individual's life-cycle decisions. Explicit solutions for finite horizon are derived both for an individual with power utility and for an individual with log utility. There are two distinct …
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Optimal Stopping Problems with A Random Time Horizon
The theory of optimal stopping provides a powerful set of tools for the study of American contingent claim pricing problem in mathematical finance. We give a self-contained overview of the theory, including the complete proofs of existence and uniqueness theorems for the optimal stopping time in …
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Optimal stopping problems and combinatorial optimization under uncertainty
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2024-09-16 without embargo terms
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Enlargement of Filtration, Backward Stochastic Differential Equations and Optimal Stopping Problems
… stochastic differential equations (BSDEs) and optimal stopping problems. In particular, the thesis develops the theory of the progressive enlargement of filtration with multiple random times and their associated marks. Several extensions of the classical progressive enlargement of filtration …
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A unified methodology of maintenance management for repairable systems based on optimal stopping theory
… management for repairable systems based on optimal stopping theory. From reliability engineering’s point of view, all systems are subject to deterioration with age and usage. System deterioration can take various forms, including wear, fatigue, fracture, cracking, breaking, corrosion, …
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ADVANCES IN STOCHASTIC ANALYSIS ON SPACES OF MEASURES: KOLMOGOROV EQUATIONS RELATED TO STOCHASTIC FILTERING AND MEAN FIELD OPTIMAL STOPPING
Lo scopo di questa Tesi è di studiare alcuni problemi di analisi stocastica e controllo ottimo stocastico, dove alcune variabili prendono valore in spazi di misure positive e di probabilità. La maggior parte del lavoro è dedicata all'introduzione e allo studio di alcune equazioni di Kolmogorov …
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On some stochastic control models and related free-boundary problems in insurance mathematics
… 2-4 can be formulated as stochastic control-stopping problems, while the model considered in Chapter 5 is a singular stochastic control problem. One of the primary challenges lies in characterizing the free boundaries when solving above problems.<br /><br /> Specifically, Chapter 2 proposes a …
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A survey of some regression-based and duality methods to value American and Bermudan options Bernard Joseph.
… time and the problem is formulated as an optimal stopping problem. The optimal stopping time can be expressed through continuation values (the price of the option given that the option is exercised after time j conditioned on the state process at time j). Regression-based Monte Carlo …
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Efficient Algorithms for High-Dimensional Data-Driven Sequential Decision-Making
… constraint} on its decisions: optimal stopping, sequential decision-making with limited moves and online bipartite max weight independent set. Assuming sample access to the underlying model (analogous to a \textit{generative model} in reinforcement learning), our algorithm can …
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Approximate dynamic programming for large scale systems
… problems can be cast as dynamic programs and the optimal value function can be computed by solving Bellman's equation. However, this approach is limited in its applicability. As the number of state variables increases, the state space size grows exponentially, a phenomenon known as the curse of …
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On some Two-Dimensional Singular Stochastic Control Problems and their Free-Boundary Analysis
… The main interest is to characterize the optimal control in the problems, and in particular to characterize the corresponding free-boundaries. We investigate three different settings, in which the two-dimensional nature is driven by various aspects. In Section 2, we propose and solve a …
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Essays on real options and strategic behaviour.
… behaviour and asymmetric information into optimal stopping decisions under uncertainty. vVe derive optimal stopping rules when each agent's payoff is affected by the actions of other agents and these latter are of unknown type. 'Strategic Sequential Investments: an Application to Preemptive …
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Commodity market modeling and physical trading strategies
… the oil market in late 2008, is presented as an optimal stopping problem. Using the two-factor model of the forward curve, the value of storing crude oil is derived and analyzed historically. The analytical framework for physical commodity trading that is developed allows for the calculation of …
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Essays in Economic Theory
… small firm will quit earlier. The large firm's optimal stopping time is not affected by the competition, while the small firm's stopping time is reduced. Additionally, I find that companies will remain longer in the race if the investigation cost is lower, the winning premium is higher, the …
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Efficient Media Access Control and Distributed Channel-aware Scheduling for Wireless Ad-Hoc Networks
… during the channel probing phase. We use optimal stopping theory to formulate this problem, but at carefully chosen time instances at which effective decisions are made. The problem can then be solved by a new stopping rule problem where the observations are independent between different …
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Matroid prophet inequalities and Bayesian mechanism design
… as theorems about pure online algoritms or optimal stopping rules, these results also have applications to mechanism design. Our results imply improved bounds on the ability of sequential posted-price mechanisms to approximate optimal mechanisms in both single-parameter and multi-parameter …
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Robust Control for Hybrid, Nonlinear Systems
We develop the robust control theories of stopping-time nonlinear systems and switching-control nonlinear systems. We formulate a robust optimal stopping-time control problem for a state-space nonlinear system and give the connection between various notions of lower value function for the …
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