Search for dissertations about: "Optimal stopping"

Showing result 16 - 20 of 37 swedish dissertations containing the words Optimal stopping.

  2. 16. Interacting particle systems in varying environment, stochastic domination in statistical mechanics and optimal pairs trading in finance

    Author : Marcus M J Warfheimer; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Interacting particle systems; contact process; randomly evolving environment; spin systems; Ising model; fuzzy Potts model; pairs trading; optimal stopping; contact process;

    Abstract : In this thesis we first consider the contact process in a randomly evolving environment, introduced by Erik Broman. This process is a generalization of the contact process where the recovery rate can vary between two values. The rate which it chooses is determined by a background process, which evolves independently at different sites. READ MORE

  4. 17. To stop or not to stop : some elementary optimal stopping problems with economic interpretations

    Author : Björn Leonardz; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  5. 18. Novel Algorithms for Optimal Transport via Splitting Methods

    Author : Jacob Lindbäck; Mikael Johansson; Jérôme Malick; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal transport; splitting methods; Optimeringslära och systemteori; Optimization and Systems Theory;

    Abstract : This thesis studies how the Douglas–Rachford splitting technique can be leveraged for scalable computational optimal transport (OT). By carefully splitting the problem, we derive an algorithm with several advantages. READ MORE

  6. 19. Selected Problems in Financial Mathematics

    Author : Erik Ekström; Johan Tysk; Svante Janson; Lane P. Hughston; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; American options; convexity; monotonicity in the volatility; robustness; optimal stopping; parabolic equations; free boundary problems; volatility; Russian options; game options; excessive functions; superreplication; smooth fit; Matematisk analys; Mathematical analysis; Analys;

    Abstract : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. READ MORE

  7. 20. On the Optimisation and Regulation of Clinical Trials

    Author : Sebastian Jobjörnsson; Chalmers tekniska högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; decision theory; Bayesian statistics; optimal stopping.; clinical trials; subgroup analysis; drug regulation;

    Abstract : The basic premise of this thesis is that Bayesian Decision Theory (BDT) can and should be used to solve clinical trial design problems. While the flexibility of the framework allows for accommodating a great variety of situations, it also requires an explicit consideration of the gains and costs associated with the trial. READ MORE