scientific article
From MaRDI portal
Publication:3378055
zbMath1115.60001MaRDI QIDQ3378055
Albert N. Shiryaev, Goran Peskir
Publication date: 30 March 2006
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
maximal inequalitiesfree-boundary problemoptimal stopping problemmaximum processlocal time-space calculusultimate maximumAmerican option problemsprinciples of smooth and continuous fitsequential testing and quickest disorder detection problems
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (only showing first 100 items - show all)
Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information ⋮ THE BRITISH ASSET-OR-NOTHING PUT OPTION ⋮ Optimal Closing of a Momentum Trade ⋮ An algorithm to solve optimal stopping problems for one-dimensional diffusions ⋮ The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion ⋮ Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption ⋮ Finite Horizon Impulse control of Stochastic Functional Differential Equations ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ On buybacks, dilutions, dividends, and the pricing of stock‐based claims ⋮ Optimal dividend payout under stochastic discounting ⋮ Progressive participation ⋮ Optimal anytime regret with two experts ⋮ Predicting the last zero before an exponential time of a spectrally negative Lévy process ⋮ With or without replacement? Sampling uncertainty in Shepp’s urn scheme ⋮ Nonparametric learning for impulse control problems -- exploration vs. exploitation ⋮ Propagation of minimality in the supercooled Stefan problem ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Finite horizon sequential detection with exponential penalty for the delay ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ A new integral equation for Brownian stopping problems with finite time horizon ⋮ Bayesian quickest detection of credit card fraud ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Perpetual American options with asset-dependent discounting ⋮ Irreversible investment under predictable growth: why land stays vacant when housing demand is booming ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes ⋮ Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions ⋮ Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing ⋮ Optimal stopping in predictable setting ⋮ Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ Optimal multiple stopping problem under nonlinear expectation ⋮ Compound Poisson disorder problem with uniformly distributed disorder time ⋮ Conditional quantiles: an operator-theoretical approach ⋮ The inverse first-passage time problem as hydrodynamic limit of a particle system ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ Optimal Stopping for Exponential Lévy Models with Weighted Discounting ⋮ Optimality of Two-Parameter Strategies in Stochastic Control ⋮ Consumer strategy, vendor strategy and equilibrium in duopoly markets with production costs ⋮ A general approximation method for optimal stopping and random delay ⋮ The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem ⋮ An exit contract optimization problem ⋮ An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion ⋮ On Some Impulse Control Problems with Constraint ⋮ Unnamed Item ⋮ Monotonicity and robustness in Wiener disorder detection ⋮ Unnamed Item ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models ⋮ PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ Optimal Stopping Problems for a Family of Continuous-Time Markov Processes ⋮ PREVENTION OF CATASTROPHIC FAILURES WITH WEAK FOREWARNING SIGNALS ⋮ On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models ⋮ Pairs Trading with Opportunity Cost ⋮ Distribution‐constrained optimal stopping ⋮ Corrected random walk approximations to free boundary problems in optimal stopping ⋮ The British call option ⋮ American step-up and step-down default swaps under Lévy models ⋮ Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes ⋮ Deep optimal stopping ⋮ Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen ⋮ Author's Response ⋮ On an optimal extraction problem with regime switching ⋮ On the Optimal Exercise Boundaries of Swing Put Options ⋮ Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ Optimal Consumption and Portfolio Selection with Early Retirement Option ⋮ Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon ⋮ Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion ⋮ Optimization in task-completion networks ⋮ Variance Optimal Stopping for Geometric Lévy Processes ⋮ Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes ⋮ A Linear Programming Approach to Sequential Hypothesis Testing ⋮ Nonzero-Sum Games of Optimal Stopping and Generalized Nash Equilibrium Problems ⋮ American Option Valuation under Continuous-Time Markov Chains ⋮ Discounted optimal stopping problems in first-passage time models with random thresholds ⋮ Optimal Retirement Under Partial Information ⋮ A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading ⋮ Perpetual American options in diffusion-type models with running maxima and drawdowns ⋮ Diffusion transformations, Black-Scholes equation and optimal stopping ⋮ Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities ⋮ On the sub-optimality cost of immediate annuitization in DC pension funds ⋮ Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options ⋮ On optimal stopping and free boundary problems under ambiguity ⋮ From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ American options under periodic exercise opportunities ⋮ Sequential testing of simple hypotheses about compound Poisson processes ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Costly sequential experimentation and project valuation with an application to health technology assessment ⋮ Classical and restricted impulse control for the exchange rate under a stochastic trend model ⋮ A model for irreversible investment with construction and revenue uncertainty ⋮ Exact inequalities for the maximum of a skew Brownian motion ⋮ Optimal closing of a pair trade with a model containing jumps. ⋮ The trap of complacency in predicting the maximum
This page was built for publication: