Sökning: "optimal stopping"

Visar resultat 1 - 5 av 37 avhandlingar innehållade orden optimal stopping.

  1. 1. 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

  3. 2. 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

  4. 3. Optimal Stopping and Model Robustness in Mathematical Finance

    Författare :Henrik Wanntorp; Johan Tysk; Svante Janson; Boualem Djehiche; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; model robustness; American options; free boundary problems; hedging; option pricing; Mathematical statistics; Matematisk statistik;

    Sammanfattning : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. LÄS MER

  5. 4. Optimal Sequential Decisions in Hidden-State Models

    Författare :Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; sequential analysis; optimal stopping; optimal liquidation; drift uncertainty; incomplete information; stochastic filtering;

    Sammanfattning : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. LÄS MER

  7. 5. Optimal Stopping under Drift Uncertainty

    Författare :Juozas Vaicenavicius; Erik Ekström; Pavel Gapeev; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Matematik;

    Sammanfattning : .... LÄS MER