We study the optimal stopping problem of McKean-Vlasov diffusions when criterion is a function law stopped process. A remarkable new feature in this setting that time also impacts dynamics process through dependence coefficients on law. The mean field introduced weak formulation terms joint marginal underlying and survival This specification satisfies dynamic programming principle. correspondin...

We model a risk-averse firm owner who wants to maximize the intertemporal expected utility of firm’s dividends. The optimal dynamic control problem is characterized by two stochastic state variables: equity value, and profitability (ROA) _rm. According empirical evi-dence, we let follow mean reverting process. solved in quasi-explicit form computing both dividend debt. Finally, calibrate actual...

We present an interval branch-and-prune algorithm for computing verified enclosures for the global minimum and all global minimizers of univariate functions subject to bound constraints. The algorithm works within the branch-and-bound framework and uses first order information of the objective function. In this context, we investigate valuable properties of the optimal center of a mean value fo...

We present an interval branch-and-prune algorithm for computing verified enclosures for the global minimum and all global minimizers of univariate functions subject to bound constraints. The algorithm works within the branch-and-bound framework and uses first order information of the objective function. In this context, we investigate valuable properties of the optimal center of a mean value fo...

The exponentially weighted moving average (EWMA) is a well-known and popular statistic used for smoothing and forecasting time series and as a process mean estimator, due to its simplicity and ability to capture nonstationarity. The EWMA statistic has been shown to be an optimal mean estimator for a certain disturbance process and an effective estimator for various other processes. In this arti...