Solving optimal stopping problems via empirical dual optimization

JOURNAL ARTICLE published 1 October 2013 in The Annals of Applied Probability

Authors: Denis Belomestny

Diffusion transformations, Black–Scholes equation and optimal stopping

JOURNAL ARTICLE published 1 October 2018 in The Annals of Applied Probability

Authors: Umut Çetin

Age-replacement policy and optimal work size

JOURNAL ARTICLE published June 2002 in Journal of Applied Probability

Authors: Jie Mi

A dynamic programming approach to distribution-constrained optimal stopping

JOURNAL ARTICLE published 1 June 2022 in The Annals of Applied Probability

Authors: Sigrid Källblad

Optimal stopping under probability distortion

JOURNAL ARTICLE published 1 February 2013 in The Annals of Applied Probability

Authors: Zuo Quan Xu | Xun Yu Zhou

Conditional optimal stopping: A time-inconsistent optimization

JOURNAL ARTICLE published 1 August 2020 in The Annals of Applied Probability

Authors: Marcel Nutz | Yuchong Zhang

Monte Carlo algorithms for optimal stopping and statistical learning

JOURNAL ARTICLE published 1 May 2005 in The Annals of Applied Probability

Authors: Daniel Egloff

On the value of optimal stopping games

JOURNAL ARTICLE published 1 August 2006 in The Annals of Applied Probability

Authors: Erik Ekström | Stephane Villeneuve

On bounds for some optimal policies in reliability

JOURNAL ARTICLE published September 2002 in Journal of Applied Probability

Authors: Jie Mi

Corrected random walk approximations to free boundary problems in optimal stopping

JOURNAL ARTICLE published September 2007 in Advances in Applied Probability

Authors: Tze Leung Lai | Yi-Ching Yao | Farid Aitsahlia

Optimal Stopping in a Dice Game

JOURNAL ARTICLE published March 1998 in Journal of Applied Probability

Authors: Markus Roters

Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems

JOURNAL ARTICLE published June 2014 in Journal of Applied Probability

Authors: Martin Klimmek

Optimal stopping of constrained Brownian motion

JOURNAL ARTICLE published September 1972 in Journal of Applied Probability

Authors: Hans Föllmer

The inverse first-passage problem and optimal stopping

JOURNAL ARTICLE published 1 October 2016 in The Annals of Applied Probability

Authors: Erik Ekström | Svante Janson

Continuity of the optimal stopping boundary for two-dimensional diffusions

JOURNAL ARTICLE published 1 February 2019 in The Annals of Applied Probability

Authors: Goran Peskir

Optimal stopping problems for Brownian motion

JOURNAL ARTICLE published 1970 in Advances in Applied Probability

Authors: John Bather

Branching processes with deteriorating random environments

JOURNAL ARTICLE published June 2002 in Journal of Applied Probability

Authors: Peter Jagers | Zhunwei Lu

Optimal Stopping of Markov Processes

BOOK CHAPTER published in Stochastic Modelling and Applied Probability

Optimal stopping with signatures

JOURNAL ARTICLE published 1 February 2023 in The Annals of Applied Probability

Authors: Christian Bayer | Paul P. Hager | Sebastian Riedel | John Schoenmakers

Optimal Stopping with Rank-Dependent Loss

JOURNAL ARTICLE published December 2007 in Journal of Applied Probability

Authors: Alexander V. Gnedin