Sökning: "stopping time"

Visar resultat 1 - 5 av 69 avhandlingar innehållade orden stopping time.

1. 1. On the optimal stopping time of learning

   Författare :Anna Fedyszak-Koszela; Richard Bonner; Dmitrii Silvestrov; Jacek Malec; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; stopping time; MATHEMATICS; MATEMATIK;

   Sammanfattning :  The goal of this thesis is to study the economics of computational learning. Attention is also paid to applications of computational learning models, especially Valiant's so-called `probably approximately correctly' (PAC) learning model, in econometric situations. LÄS MER

3. 2. Bridges with Random Length and Pinning Point for Modelling the Financial Information

   Författare :Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

   Sammanfattning : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. LÄS MER

4. 3. Large deviation techniques applied to three questions of when

   Författare :Ola Hammarlid; Anders Martin-Löf; Ingmar Kaj; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Large deviations; first passage time; stopping time; rate function; convex barrier; fallacy of large numbers; utility function; insurance; ruin; variable premium; generalized Ornstein-Uhlenbeck process; Mathematical statistics; Matematisk statistik;

   Sammanfattning : Large deviation techniques are used to solve three problems; when is a distant convex barrier passed, when to accept a sequence of gambles and when is the time of ruin. This work is the collection of four papers. LÄS MER

5. 4. 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

7. 5. 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