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Moments of random sums and Robbins' problem of optimal stopping
Moments of random sums Robbins' problem Probability
2011/9/13
Abstract: Robbins' problem of optimal stopping asks one to minimise the expected {\it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {\it value...
Optimal stopping problems for the maximum process with upper and lower caps
Optimal stopping optimal stopping boundary principle of smooth fit principle of continuous fit Levy processes
2011/8/23
Abstract: This paper concerns optimal stopping problems driven by a spectrally negative L\'evy process $X$. More precisely, we are interested in modifications of the Shepp-Shiryaev optimal stopping pr...
We study, for any stopping time S, the optimal stopping time problem v(S) = ess supSE[ ()|FS],where the reward is given by a family { (), 2 T0} of positive random variables indexed by stopping t...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
variational inequalities cost yields expected profit
2010/4/27
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...