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Optimal stopping
, 2012
"... ⊲ Dynamics: Let (Xt)t∈[0,T] be a quasileft continuous càdlàg dynamics, say ..."
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⊲ Dynamics: Let (Xt)t∈[0,T] be a quasileft continuous càdlàg dynamics, say
Approximation of optimal stopping problems
"... We consider optimal stopping of independent sequences. Assuming that the corresponding imbedded planar point processes converge to a Poisson process we introduce some additional conditions which allow to approximate the optimal stopping problem of the discrete time sequence by the optimal stopping o ..."
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Cited by 7 (4 self)
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We consider optimal stopping of independent sequences. Assuming that the corresponding imbedded planar point processes converge to a Poisson process we introduce some additional conditions which allow to approximate the optimal stopping problem of the discrete time sequence by the optimal stopping
ON THE VALUE OF OPTIMAL STOPPING GAMES
, 2006
"... We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence of an o ..."
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Cited by 7 (1 self)
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We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence
Optimal Stopping and Dynamic Programming
, 2006
"... We present a brief review of optimal stopping and dynamic programming using minimal technical tools and focusing on the essentials. 1. Brief history of optimal stopping Optimal stopping problems originated in Wald’s sequential analysis [15] being a method of statistical inference (sequential probabi ..."
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Cited by 1 (0 self)
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We present a brief review of optimal stopping and dynamic programming using minimal technical tools and focusing on the essentials. 1. Brief history of optimal stopping Optimal stopping problems originated in Wald’s sequential analysis [15] being a method of statistical inference (sequential
Convergence of values in optimal stopping
, 2004
"... Abstract: Under the hypothesis of convergence in probability of a sequence of càdlàg processes (X n)n to a càdlàg process X, we are interested in the convergence of corresponding values in optimal stopping. We give results under hypothesis of inclusion of filtrations or convergence of filtrations. ..."
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Abstract: Under the hypothesis of convergence in probability of a sequence of càdlàg processes (X n)n to a càdlàg process X, we are interested in the convergence of corresponding values in optimal stopping. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.
Optimal stopping with multiple priors
 Econometrica
, 2009
"... We develop a theory of optimal stopping under Knightian uncertainty. A suitable martingale theory for multiple priors is derived in order to extend the classical dynamic programming or Snell envelope approach to multiple priors. We relate the multiple prior theory to the classical setup via a minima ..."
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Cited by 25 (1 self)
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We develop a theory of optimal stopping under Knightian uncertainty. A suitable martingale theory for multiple priors is derived in order to extend the classical dynamic programming or Snell envelope approach to multiple priors. We relate the multiple prior theory to the classical setup via a
Optimal stopping under ambiguity
, 2006
"... We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time–consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps o ..."
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Cited by 4 (0 self)
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We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time–consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps
Elementary Proofs on Optimal Stopping
, 2001
"... Elementary proofs of classical theorems on pricing perpetual call and put options in the standard BlackScholes model are given. The method presented does not rely on stochastic calculus and is also applied to give prices and optimal stopping rules for perpetual call options when the stock is driven ..."
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Cited by 1 (0 self)
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Elementary proofs of classical theorems on pricing perpetual call and put options in the standard BlackScholes model are given. The method presented does not rely on stochastic calculus and is also applied to give prices and optimal stopping rules for perpetual call options when the stock
Optimal stopping with forced exits
 Math. Oper. Res
, 2005
"... We consider a continuous time optimal stopping problem with multiple entries and forced exits. The value for such an optimization problem with a general payoff function is solved in closed form under the assumption that the state process is a geometric Brownian motion and the forced exits come in ..."
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Cited by 1 (0 self)
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We consider a continuous time optimal stopping problem with multiple entries and forced exits. The value for such an optimization problem with a general payoff function is solved in closed form under the assumption that the state process is a geometric Brownian motion and the forced exits come
OPTIMAL STOPPING OF A BROWNIAN BRIDGE
, 2008
"... We study several optimal stopping problems in which the gains process is a Brownian bridge or a functional of a Brownian bridge. Our examples constitute natural finite horizon optimal stopping problems with explicit solutions. ..."
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Cited by 2 (0 self)
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We study several optimal stopping problems in which the gains process is a Brownian bridge or a functional of a Brownian bridge. Our examples constitute natural finite horizon optimal stopping problems with explicit solutions.
Results 1  10
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2,891