Sökning: "optimal stopping games"

Hittade 3 avhandlingar innehållade orden optimal stopping games.

  1. 1. Optimal stopping, incomplete information, and stochastic games

    Författare :Yuqiong Wang; Erik Ekström; Sören Christensen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; sequential analysis; incomplete information; asymmetric information; stochastic filtering; Dynkin games; tug-of-war games; Mathematics; Matematik;

    Sammanfattning : This thesis contains six papers on the topics of optimal stopping and stochastic games. Paper I extends the classical Bayesian sequential testing and detection problems for a Brownian motion to higher dimensions. We demonstrate unilateral concavity of the cost function and present its structural properties through various examples. LÄS MER

  3. 2. Optimal timing decisions in financial markets

    Författare :Martin Vannestål; Erik Ekström; Luis H. R. Alvarez E.; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; optimal stopping; American options; optimal stopping games; incomplete information; Mathematics; Matematik;

    Sammanfattning : This thesis consists of an introduction and five articles. A common theme in all the articles is optimal timing when acting on a financial market. The main topics are optimal selling of an asset, optimal exercising of an American option, optimal stopping games and optimal strategies in trend following trading. LÄS MER

  4. 3. Information and Default Risk in Financial Valuation

    Författare :Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

    Sammanfattning : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. LÄS MER