Search for dissertations about: "optimal stopping problem"
Showing result 1 - 5 of 23 swedish dissertations containing the words optimal stopping problem.
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1. Optimal stopping, incomplete information, and stochastic games
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
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2. A Probabilistic Approach to Non-Markovian Impulse Control
Abstract : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. READ MORE
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3. Optimal Stopping and Model Robustness in Mathematical Finance
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
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4. Optimal Sequential Decisions in Hidden-State Models
Abstract : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. READ MORE
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5. On the optimal stopping time of learning
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