On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Stopping Under Ambiguity In Continuous Time

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted Hamilton–Jacobi–Bellman equation involving a nonlinear drift term that stems from the agent’s ambiguity ave...

متن کامل

Optimal Stopping Problems

In the last lecture, we have analyzed the behavior of TD(λ) for approximating the cost­to­go function in autonomous systems. Recall that much of the analysis was based on the idea of sampling states according to their stationary distribution. This was done either explicitly, as was assumed in approximate value iteration, or implicitly through the simulation or observation of system trajectories...

متن کامل

Fuzzy stopping problems in continuous-time fuzzy stochastic systems

In a continuous-time fuzzy stochastic system, a stopping model with fuzzy stopping times is presented. The optimal fuzzy stopping times are given under an assumption of regularity for stopping rules. Also, the optimal fuzzy reward is characterized as a unique solution of an optimality equation under a differentiability condition. An example in the Markov models is discussed.

متن کامل

On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models

We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Lévy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale function, and further pursue optimal candidate threshold levels. We obtain and show the equivalence of the continuous/smooth fit condition and the first-order con...

متن کامل

On approximative solutions of optimal stopping problems

In this paper some extensions are given of the method to approximate optimal discrete time stopping problems by related limiting stopping problems for Poisson type processes. In particular we establish detailed results for the solutions of the differential equations characterizing the optimal stopping curves in the limiting stopping problem. These allow to determine explicit approximative optim...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Electronic Communications in Probability

سال: 2005

ISSN: 1083-589X

DOI: 10.1214/ecp.v10-1144