Optimal stopping problems in a stochastic and fuzzy system

DOI10.1006/jmaa.2000.6771zbMath0974.60024OpenAlexW2002230835MaRDI QIDQ1577973

N. Delaunay

Publication date: 2 December 2001

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/bafef8cadd8d5e62f260dab2f9f67fb57687f230

zbMATH Keywords

optimal stopping problemfuzzy stoppingfuzzy stochastic system

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Stopping times; optimal stopping problems; gambling theory (60G40) Fuzzy measure theory (28E10) Fuzzy real analysis (26E50) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (13)

Doob's stopping theorem for fuzzy (super, sub) martingales with discrete time ⋮ A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty ⋮ A multiobjective fuzzy stopping in a stochastic and fuzzy environment ⋮ A discrete-time model of American put option in an uncertain environment. ⋮ Fuzzy stopping problems in continuous-time fuzzy stochastic systems ⋮ On fuzzy renewal processes for fuzzy random variables and extended theorems ⋮ A discrete-time American put option model with fuzziness of stock prices ⋮ A fuzzy stopping problem with the concept ⋮ A note on Yoshida's optimal stopping model for option pricing ⋮ Optimal stopping models in a stochastic and fuzzy environment ⋮ An approach to stopping problems of a dynamic fuzzy system ⋮ Fuzzy stopping in continuous-time dynamic fuzzy systems ⋮ The valuation of European options in uncertain environment

Cites Work

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• A limit theorem in some dynamic fuzzy systems
• Ranking and defuzzification methods based on area compensation
• An approach to stopping problems of a dynamic fuzzy system
• Markov chains with a transition possibility measure and fuzzy dynamic programming
• The Best Choice Problem for a Random Number of Objects
• Fuzzy sets
• Fuzzy random variables

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