Search for dissertations about: "stopping"

Showing result 1 - 5 of 130 swedish dissertations containing the word stopping.

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

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

    Abstract : 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. READ MORE

  4. 2. On the optimal stopping time of learning

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

    Abstract :  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. READ MORE

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

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

    Abstract : 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. READ MORE

  6. 4. Optimal Stopping under Drift Uncertainty

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

    Abstract : .... READ MORE

  7. 5. Optimal timing decisions in financial markets

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

    Abstract : 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. READ MORE