scientific article; zbMATH DE number 3607222
From MaRDI portal
Publication:4172681
zbMath0391.60002MaRDI QIDQ4172681
Publication date: 1978
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Inference from stochastic processes (62Mxx)
Related Items
Stability Estimation of Transient Markov Decision Processes ⋮ Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables ⋮ Optimal Closing of a Momentum Trade ⋮ A new method of valuing American options based on Brownian models ⋮ Bayesian Sequential Composite Hypothesis Testing in Discrete Time ⋮ General optimal stopping with linear cost ⋮ A general method for finding the optimal threshold in discrete time ⋮ Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences ⋮ Unnamed Item ⋮ Bayesian stopping ⋮ An optimization method for change-point monitoring in finite samples sequence ⋮ Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping ⋮ Finite horizon sequential detection with exponential penalty for the delay ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ A numerical approach to sequential multi-hypothesis testing for Bernoulli model ⋮ Bayesian quickest detection of credit card fraud ⋮ Optimal stopping with expectation constraints ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ Modeling and quickest detection of a rapidly approaching object ⋮ Quickest change detection in statistically periodic processes with unknown post-change distribution ⋮ Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Long-Run Impulse Control with Generalized Discounting ⋮ Monotonicity and robustness in Wiener disorder detection ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION ⋮ OPTIMAL STOPPING WITH DELAYED INFORMATION ⋮ PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION ⋮ The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events ⋮ Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process ⋮ Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency ⋮ PREVENTION OF CATASTROPHIC FAILURES WITH WEAK FOREWARNING SIGNALS ⋮ Bayesian Quickest Detection Problems for Some Diffusion Processes ⋮ Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund ⋮ Sequential Testing Problems for Lévy Processes ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ Two-sided search and perfect segregation with fixed search costs ⋮ On Minimax Duality in Optimal Stopping ⋮ Searching stochastically generated multi-abstraction-level design spaces ⋮ Discussion on “Life and Work of Bhaskar Kumar Ghosh” by Pranab Kumar Sen ⋮ Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes ⋮ Foster-type criteria for Markov chains on general spaces ⋮ Monitoring a Poisson process subject to gradual changes in the arrival rates ⋮ When do borrowing constraints bind? Some new results on the income fluctuation problem ⋮ Optimal stopping, free boundary, and American option in a jump-diffusion model ⋮ Sequential multi-hypothesis testing for compound Poisson processes ⋮ One-sided solutions for optimal stopping problems with logconcave reward functions ⋮ Sequential hypothesis tests under random horizon ⋮ On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion ⋮ Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev ⋮ Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén ⋮ Optimal Stopping Problem with a Vector-Valued Reward Function ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Unnamed Item ⋮ A Forward Algorithm for Solving Optimal Stopping Problems ⋮ Optimal Equilibria for Multidimensional Time-Inconsistent Stopping Problems ⋮ A Dynkin Game on Assets with Incomplete Information on the Return ⋮ Clearing in Financial Networks ⋮ Variance Optimal Stopping for Geometric Lévy Processes ⋮ ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS ⋮ A Linear Programming Approach to Sequential Hypothesis Testing ⋮ Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains ⋮ Optimal sequential tests for detection of changes under finite measure space for finite sequences of networks ⋮ Impulse control of a diffusion with a change point ⋮ The controller-and-stopper game for a linear diffusion. ⋮ Value iteration methods in risk minimizing stopping problems ⋮ A bilevel programming approach to double optimal stopping ⋮ Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality ⋮ Optimality of the CUSUM procedure in continuous time. ⋮ From perpetual strangles to Russian options ⋮ An optimal stopping problem with finite horizon for sums of i.i.d. random variables ⋮ Detecting the presence of a random drift in Brownian motion ⋮ Operation comfort of multistate system vs. the importance of its components ⋮ Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ Optimal stopping time on semi-Markov processes with finite horizon ⋮ Detecting changes in signals and systems - a survey ⋮ The Wiener disorder problem with finite horizon ⋮ Sequential testing of simple hypotheses about compound Poisson processes ⋮ Costly sequential experimentation and project valuation with an application to health technology assessment ⋮ On data-based optimal stopping under stationarity and ergodicity ⋮ Optimal switching problems of tandem type ⋮ The existence and properties of the solution of a class of nonlinear differential equations with switching at variable times ⋮ The tree-cutting problem in a stochastic environment: The case of age- dependent growth ⋮ The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria ⋮ Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing ⋮ Exit strategies and price uncertainty: A Greenian approach ⋮ Pricing permanent convertible bonds in EVG model ⋮ The trap of complacency in predicting the maximum ⋮ On change-point estimation under Sobolev sparsity ⋮ A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems ⋮ State-of-the-art in sequential change-point detection ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints ⋮ Exercising control when confronted by a (Brownian) spider ⋮ Reserve-dependent surrender rates ⋮ Multisource Bayesian sequential binary hypothesis testing problem ⋮ EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility ⋮ Stopping rules and tactics for processes indexed by a directed set ⋮ Optimal stopping under probability distortion ⋮ Optimal stopping problems for some Markov processes ⋮ Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process ⋮ On the problems of sequential statistical inference for Wiener processes with delayed observations ⋮ Optimal patch use in a stochastic environment ⋮ Decision and game theory for security. Second international conference, GameSec 2011, College Park, MD, Maryland, USA, November 14--15, 2011. Proceedings ⋮ Optimal, quality-aware scheduling of data consumption in mobile ad hoc networks ⋮ A unified framework for stochastic optimization ⋮ Herbert Robbins and sequential analysis ⋮ Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options ⋮ On the existence of solutions of unbounded optimal stopping problems ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption ⋮ Optimal buying at the global minimum in a regime switching model ⋮ Optimal variance stopping with linear diffusions ⋮ Equilibrium exit in stochastically declining industries ⋮ Optimal on-line detection of outside observations ⋮ On-line detection of a part of a sequence with unspecified distribution ⋮ The integral option in a model with jumps ⋮ Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control ⋮ Tracking a random walk first-passage time through noisy observations ⋮ A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time ⋮ A note on a nonlinear functional equation and its application ⋮ Asymptotic operating characteristics of an optimal change point detection in hidden Markov models ⋮ Full-information best choice game with hint ⋮ On two estimates related to the change-point problem ⋮ The right time to sell a stock whose price is driven by Markovian noise ⋮ On the convergence from discrete to continuous time in an optimal stopping problem. ⋮ Monte Carlo algorithms for optimal stopping and statistical learning ⋮ The disorder problem for compound Poisson processes with exponential jumps ⋮ Detection of intrusions in information systems by sequential change-point methods ⋮ Optimal stopping of oscillating Brownian motion ⋮ On the Wiener disorder problem ⋮ Dynamic optimality in optimal variance stopping problems ⋮ Risk sensitive optimal stopping ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ Existence of optimal controls for singular control problems with state constraints ⋮ Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem ⋮ On absolute continuity and singularity of multidimensional diffusions ⋮ Infinite horizon stopping problems with (nearly) total reward criteria ⋮ Optimal expulsion and optimal confinement of a Brownian particle with a switching cost ⋮ Connections between optimal stopping and singular stochastic control ⋮ Sequential Wald test employing a constrained filter bank: application to spacecraft conjunctions ⋮ Sequential tracking of a hidden Markov chain using point process observations ⋮ Prophet inequalities for cost of observation stopping problems ⋮ Nash equilibria in a class of Markov stopping games with total reward criterion ⋮ Diffusion approximations and nearly optimal maintenance policies for system breakdown and repair problems ⋮ Bayesian sequential least-squares estimation for the drift of a Wiener process ⋮ Risk-sensitive optimal stopping with unbounded terminal cost function ⋮ On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay ⋮ Optimal stopping and a martingale approach to the penalty method ⋮ Quickest real-time detection of a Brownian coordinate drift ⋮ A simulation approach to optimal stopping under partial information ⋮ Control and stopping of a diffusion process on an interval ⋮ Long-term average cost control problems for continuous time Markov processes: A survey ⋮ Two armed bandits with change point in one arm ⋮ Sequential testing problems for Poisson processes. ⋮ The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem ⋮ Quickest detection with exponential penalty for delay ⋮ Designing options given the risk: The optimal Skorokhod-embedding problem ⋮ Sum the odds to one and stop ⋮ On a generalized disorder problem ⋮ On sticky bookmaking as a learning device in horse-racing betting markets ⋮ Impulse control of stochastic Navier-Stokes equations ⋮ Optimal online detection of parameter changes in two linear models ⋮ Asymptotic behavior of posterior distribution of the change-point parameter ⋮ Optimal stopping problems with restricted stopping times ⋮ The Impact of Intensity in Surveillance of Cyclical Processes ⋮ A Bayesian-martingale approach to the general disorder problem ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ Optimal stopping and free boundary characterizations for some Brownian control problems ⋮ Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy ⋮ Selection of a correlated equilibrium in Markov stopping games ⋮ Non-randomized strategies in stochastic decision processes ⋮ Reducing transaction costs with low-latency trading algorithms ⋮ Markov stopping games with random priority ⋮ Detecting changes in real-time data: a user’s guide to optimal detection ⋮ On the Pricing of Perpetual American Compound Options ⋮ Input design for detection of abrupt changes in dynamical systems ⋮ Global \(C^1\) regularity of the value function in optimal stopping problems ⋮ Optimal real-time detection of a drifting Brownian coordinate ⋮ Asymptotically Pointwise Optimal Change Detection in Multiple Channels ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Pareto Optimality in a Bicriterion Optimal Stopping Problem ⋮ On the sequential testing and quickest change-point detection problems for Gaussian processes ⋮ Stochastic discretized learning-based weak estimation: a novel estimation method for non-stationary environments ⋮ Intervene in advance or passively? Analysis and application on congestion control of smart grid ⋮ Unnamed Item ⋮ Multisource Bayesian sequential change detection ⋮ Sequential change detection revisited ⋮ Sequential testing problems for Bessel processes ⋮ Asymptotic optimality of the wald sequential test ⋮ Maximal Exponential Inequalities for Certain Diffusion Processes ⋮ Multidecision Quickest Change-Point Detection: Previous Achievements and Open Problems ⋮ An optimal sequential procedure for determining the drift of a Brownian motion among three values ⋮ Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time ⋮ Finite-Fuel Singular Control With Discretionary Stopping ⋮ Bayesian Sequential Testing Problem for a Brownian Bridge ⋮ Sequential Testing of Two Hypotheses for a Stationary Ornstein--Uhlenbeck Process ⋮ Optimal stopping in infinite horizon: an eigenfunction expansion approach ⋮ SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL ⋮ An effective method for the explicit solution of sequential problems on the real line ⋮ On the quasi-stationary distribution of the Shiryaev–Roberts diffusion ⋮ On a problem of optimal stopping in mathematical finance ⋮ On Wald Optimal Stopping Problem for Geometric Brownian Motions ⋮ Asymptotically Optimal Quickest Change Detection in Distributed Sensor Systems ⋮ On a decomposition result in a Dynkin stopping game ⋮ On optimal stopping of risk processes with regime switching ⋮ Sequential testing of a Wiener process with costly observations ⋮ Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index ⋮ A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options ⋮ A game version of the Cowan-Zabczyk-Bruss' problem ⋮ Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions ⋮ BAYES STOPPING RULES IN A CHANGE-POINT MODEL WITH A RANDOM HAZARD RATE ⋮ From Disorder Detection to Optimal Stopping and Mathematical Finance ⋮ State-of-the-Art in Bayesian Changepoint Detection ⋮ Sequential Change-Point Detection When the Pre- and Post-Change Parameters are Unknown ⋮ Finite expiry Russian options ⋮ An optimal stopping problem in a diffusion-type model with delay ⋮ Sequential change-point detection when unknown parameters are present in the pre-change distribution ⋮ A remark on optimal variance stopping problems ⋮ PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL ⋮ A Note on “The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes” by Han and Tsung ⋮ Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model ⋮ Optimal sequential testing for an inverse Gaussian process ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ An iterative procedure for solving integral equations related to optimal stopping problems ⋮ An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences ⋮ The disorder problem for purely jump Lévy processes with completely monotone jumps ⋮ Optimal multistage sequential hypothesis testing ⋮ Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution ⋮ On Some Optimal Stopping Problems with Constraint ⋮ Optimal strategies in a risky debt context ⋮ Cylindrical martingale problems associated with Lévy generators ⋮ High-dimensional change-point detection under sparse alternatives ⋮ A Bayesian Approach to Sequential Surveillance in Exponential Families ⋮ Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation ⋮ Stopping with expectation constraints: 3 points suffice ⋮ On the optimal stopping with incomplete data ⋮ Approximately Optimal Continuous Stopping Boundaries in a One-Sided Standard Sequential Test ⋮ Explicit solutions to some optimal variance stopping problems ⋮ On the sequential testing problem for some diffusion processes ⋮ On the structure of discounted optimal stopping problems for one-dimensional diffusions ⋮ Optimal detection of transition probability change in random sequence ⋮ A multiple hypothesis testing approach to detection changes in distribution ⋮ Change-point problems: bibliography and review ⋮ Optimal stopping of one-dimensional diffusions with integral criteria ⋮ Monte Carlo methods for pricing financial options ⋮ A note on Yoshida's optimal stopping model for option pricing ⋮ Some remarks on first passage of Lévy processes, the American put and pasting principles ⋮ On the Wald's Sequential Probability Ratio Test for Lévy Processes ⋮ Change-Point Detection in Binomial Thinning Processes, with Applications in Epidemiology ⋮ On the optimal stopping problem for one-dimensional diffusions. ⋮ Generalized parking problems for levy processes ⋮ The American put option in a one-dimensional diffusion model with level-dependent volatility ⋮ A digitalized employee option ⋮ Perpetual barrier options in jump-diffusion models ⋮ Optimal stopping via measure transformation: the Beibel–Lerche approach ⋮ Principle of smooth fit and diffusions with angles ⋮ Necessary and sufficient conditions for the pointwise convergence of nearest neighbor regression function estimates ⋮ Characterization of optimality in classes of ``truncatable stopping rules ⋮ CHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATING ⋮ On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients ⋮ Solving non–linear optimal stopping problems by the method of time–change ⋮ Bayesian testing simple hypotheses on The drift of a wiener process With randomly relayed observations
This page was built for publication: