scientific article; zbMATH DE number 5016447
From MaRDI portal
Publication:3378055
zbMATH Open1115.60001MaRDI QIDQ3378055FDOQ3378055
Authors: Goran Peskir, Albert N. Shiryaev 
Publication date: 30 March 2006
Title of this publication is not available (Why is that?)
Recommendations
- Principles of optimal stopping and free-boundary problems
- On optimal stopping and free boundary problems under ambiguity
- scientific article; zbMATH DE number 3944962
- Optimal stopping problems under general restriction
- On approximative solutions of optimal stopping problems
- Optimal stopping problems with restricted stopping times
- The optimal stopping problem revisited
- Bounds for a constrained optimal stopping problem
- scientific article
free-boundary problemoptimal stopping problemmaximum processmaximal inequalitieslocal time-space calculusultimate maximumAmerican option problemsprinciples of smooth and continuous fitsequential testing and quickest disorder detection problems
Bayesian problems; characterization of Bayes procedures (62C10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Systems of nonlinear integral equations (45G15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Optimal stopping in statistics (62L15)
Cited In (only showing first 100 items - show all)
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- Finite-horizon optimal consumption and investment problem with a preference change
- Optimal decision under ambiguity for diffusion processes
- Optimal learning before choice
- A verification theorem for optimal stopping problems with expectation constraints
- Optimal timing of decisions: a general theory based on continuation values
- Cautious stochastic choice, optimal stopping and deliberate randomization
- On time-inconsistent stopping problems and mixed strategy stopping times
- Monotonicity and robustness in Wiener disorder detection
- Corrected random walk approximations to free boundary problems in optimal stopping
- Sequential testing problems for Lévy processes
- On the Wald's sequential probability ratio test for Lévy processes
- Analysis of the optimal exercise boundary of American put options with delivery lags
- Optimal stopping investment with non-smooth utility over an infinite time horizon
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Monotone Sharpe ratios and related measures of investment performance
- On Chernoff's test for a fractional Brownian motion
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Representation formulas for limit values of long run stochastic optimal controls
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Finding the optimal opening time of harvesting farmed fishery resources
- Dynamic asset allocation with consumption ratcheting post retirement
- Optimal investment with stopping in finite horizon
- Real option valuation for reserve capacity
- Threshold strategies in optimal stopping problem for one-dimensional diffusion processes
- Pricing variable annuity with surrender guarantee
- Bayesian sequential testing of the drift of a Brownian motion
- Methods of sequential hypothesis testing for the drift of a fractional Brownian motion
- Leaving well-worn paths: reversal of the investment-uncertainty relationship and flexible biogas plant operation
- Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- Transmission investment under uncertainty: reconciling private and public incentives
- Threshold stopping rules for diffusion processes and Stefan's problem
- A general method for finding the optimal threshold in discrete time
- Regulation of a single-server queue with customers who dynamically choose their service durations
- The solution to a differential-difference equation arising in optimal stopping of a jump-diffusion process
- Optimization model to start harvesting in stochastic aquaculture system
- A time optimized scheme for top-\( k\) list maintenance over incomplete data streams
- Optimal dividend payout under stochastic discounting
- Predicting the time at which a Lévy process attains its ultimate supremum
- Multisource Bayesian sequential binary hypothesis testing problem
- Optimal entry decision of unemployment insurance under partial information
- Optimal entry to an irreversible investment plan with non convex costs
- Time-consistent stopping under decreasing impatience
- Optimal stopping problem for jump-diffusion processes with regime-switching
- Mitigating global warming: a real options approach
- A recursive algorithm for selling at the ultimate maximum in regime-switching models
- Nonlinear PDE approach to time-inconsistent optimal stopping
- Selling at the ultimate maximum in a regime-switching model
- An optimal dividend problem with capital injections over a finite horizon
- Optimal stopping under uncertainty in drift and jump intensity
- The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
- On the free boundary of an annuity purchase
- Utility maximisation in a factor model with constant and proportional transaction costs
- On optimal stopping of multidimensional diffusions
- A class of recursive optimal stopping problems with applications to stock trading
- Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion
- Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
- A common value experimentation with multiarmed bandits
- On the sequential testing problem for some diffusion processes
- Limit theorems for partial hedging under transaction costs
- The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
- Quickest detection problems: fifty years later
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- On the regularity of American options with regime-switching uncertainty
- Optimal control of debt-to-GDP ratio in an \(N\)-state regime switching economy
- An excursion-theoretic approach to stability of discrete-time stochastic hybrid systems
- Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
- Optimality of Two-Parameter Strategies in Stochastic Control
- Optimal selling time in stock market over a finite time horizon
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
- Multidimensional investment problem
- Incomplete markets, ambiguity, and irreversible investment
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- Bottleneck options
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
- Optimal Skorokhod embedding under finitely many marginal constraints
- On sticky bookmaking as a learning device in horse-racing betting markets
- Optimal multiple stopping problem under nonlinear expectation
- Nonzero-sum games of optimal stopping for Markov processes
- Dynamic optimality in optimal variance stopping problems
- House-selling problem with reward rate criteria and changing costs
- Boundary evolution equations for American options
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- Monotonicity of the value function for a two-dimensional optimal stopping problem
- On the problem of optimal stopping for the composite Russian option
- An analytic formula for the price of an American-style Asian option of floating strike type
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Infinite horizon stopping problems with (nearly) total reward criteria
- Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
- Variance optimal stopping for geometric Lévy processes
- A quantitative modulus of continuity for the two-phase Stefan problem
- Optimal variance stopping with linear diffusions
- American step-up and step-down default swaps under Lévy models
- Optimal Stopping Rules
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Approximating stochastic volatility by recombinant trees
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3378055)
