Optimal stopping with applications: an editorial prelude
نویسندگان
چکیده
منابع مشابه
Optimal Stopping and Applications
These notes are intended to accompany a Graduate course on Optimal stopping, and in places are a bit brief. They follow the book ‘Optimal Stopping and Freeboundary Problems’ by Peskir and Shiryaev, and more details can generally be found there.
متن کاملOptimal Stopping with Multiple Priors
We develop a theory of optimal stopping under Knightian uncertainty. A suitable martingale theory for multiple priors is derived in order to extend the classical dynamic programming or Snell envelope approach to multiple priors. We relate the multiple prior theory to the classical setup via a minimax theorem. In a multiple prior version of the classical i.i.d. model we discuss several examples ...
متن کاملOptimal Stopping with Forced Exits
We consider a continuous time optimal stopping problem with multiple entries and forced exits. The value for such an optimization problem with a general payoff function is solved in closed form under the assumption that the state process is a geometric Brownian motion and the forced exits come in according to a Poisson process. The effect due to the forced exits is analyzed. It is shown that th...
متن کاملMartingale Optimal Transport with Stopping
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in ArXiv: 1507.02651 allows us to obtain an equivalent infinitedimensional controller-stopper problem. We use the stochastic Perron’s method and characterize the finite dimensional approximation as a viscosity solution to the correspon...
متن کاملOptimal stopping with private information
Many economic situations are modeled as stopping problems. Examples are timing of market entry decisions, search, and irreversible investment. We analyze a principalagent problem where the principal and the agent have di erent preferences over stopping rules. The agent privately observes a signal that in uences his own and the principal's payo . Based on his observation the agent decides when t...
متن کاملذخیره 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: Stochastics
سال: 2007
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442500601107575