Optimal stopping problem under random horizon
Fuente:
arXiv
Saved in:
| Main Authors: | Choulli, Tahir, Alsheyab, Safa' |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024)
by: Choulli, T., et al.
Published: (2024)
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
by: Choulli, Tahir, et al.
Published: (2024)
by: Choulli, Tahir, et al.
Published: (2024)
The second-order Esscher martingale densities for continuous-time market models
by: Choulli, Tahir, et al.
Published: (2024)
by: Choulli, Tahir, et al.
Published: (2024)
New Stochastic Fubini Theorems
by: Choulli, Tahir, et al.
Published: (2024)
by: Choulli, Tahir, et al.
Published: (2024)
A new stochastic diffusion process to model and predict electricity production from natural gas sources in the United States
by: Alsheyab, Safa'
Published: (2025)
by: Alsheyab, Safa'
Published: (2025)
A note on the long time behavior of the elephant random walk with stops
by: Akimoto, Tatsuya, et al.
Published: (2025)
by: Akimoto, Tatsuya, et al.
Published: (2025)
Optimal distributions for randomized unbiased estimators with an infinite horizon and an adaptive algorithm
by: Zheng, Chao, et al.
Published: (2023)
by: Zheng, Chao, et al.
Published: (2023)
Optimal stopping of an Ornstein-Uhlenbeck bridge
by: Azze, Abel, et al.
Published: (2021)
by: Azze, Abel, et al.
Published: (2021)
The non-linear multiple stopping problem: between the discrete and the continuous time
by: Grigorova, Miryana, et al.
Published: (2025)
by: Grigorova, Miryana, et al.
Published: (2025)
Constrained optimal stopping under a regime-switching model
by: Arai, Takuji, et al.
Published: (2022)
by: Arai, Takuji, et al.
Published: (2022)
Optimal stopping for Markov processes with positive jumps
by: Crocce, Fabian, et al.
Published: (2024)
by: Crocce, Fabian, et al.
Published: (2024)
Time-inconsistent mean-field stopping problems: A regularized equilibrium approach
by: Yu, Xiang, et al.
Published: (2023)
by: Yu, Xiang, et al.
Published: (2023)
Optimal stopping of Gauss-Markov bridges
by: Azze, Abel, et al.
Published: (2022)
by: Azze, Abel, et al.
Published: (2022)
Optimal stopping of the stable process with state-dependent killing
by: van Schaik, K., et al.
Published: (2022)
by: van Schaik, K., et al.
Published: (2022)
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
by: Hanbali, Hamza, et al.
Published: (2025)
by: Hanbali, Hamza, et al.
Published: (2025)
On the multidimensional elephant random walk with stops
by: Bercu, Bernard
Published: (2025)
by: Bercu, Bernard
Published: (2025)
Weighted solutions of random time horizon BSDEs with stochastic monotonicity and general growth generators and related PDEs
by: Li, Xinying, et al.
Published: (2024)
by: Li, Xinying, et al.
Published: (2024)
On the optimal stopping of Gauss-Markov bridges with random pinning points
by: Azze, Abel, et al.
Published: (2025)
by: Azze, Abel, et al.
Published: (2025)
Absence of percolation for infinite Poissonian systems of stopped paths
by: Coupier, David, et al.
Published: (2024)
by: Coupier, David, et al.
Published: (2024)
On the optimal stopping problem for diffusions and an approximation result for stopping times
by: Cosso, Andrea, et al.
Published: (2025)
by: Cosso, Andrea, et al.
Published: (2025)
Weighted $L^p~(p\geq1)$ solutions of random time horizon BSDEs with stochastic monotonicity generators
by: Li, Xinying, et al.
Published: (2024)
by: Li, Xinying, et al.
Published: (2024)
On multidimensional elephant random walk with stops and random step sizes
by: Ghosh, Shyan, et al.
Published: (2026)
by: Ghosh, Shyan, et al.
Published: (2026)
Optimal matchings of randomly perturbed lattices
by: Elboim, Dor, et al.
Published: (2025)
by: Elboim, Dor, et al.
Published: (2025)
On the randomized Horn problem and the surface tension of hives
by: Gangopadhyay, Aalok, et al.
Published: (2024)
by: Gangopadhyay, Aalok, et al.
Published: (2024)
Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems
by: Hua, Tianjiao, et al.
Published: (2024)
by: Hua, Tianjiao, et al.
Published: (2024)
Binomial-tree approximation for time-inconsistent stopping
by: Bayraktar, Erhan, et al.
Published: (2024)
by: Bayraktar, Erhan, et al.
Published: (2024)
Infinite-horizon Fuk-Nagaev inequalities
by: Janssen, A. J. E. M., et al.
Published: (2024)
by: Janssen, A. J. E. M., et al.
Published: (2024)
A forward algorithm for a class of Markov zero-sum stopping games
by: Le, Nhat-Thang
Published: (2026)
by: Le, Nhat-Thang
Published: (2026)
On a connection between total positivity and Bernoulli stopping problems
by: Derbazi, Zakaria
Published: (2024)
by: Derbazi, Zakaria
Published: (2024)
On differentiability of reward functionals corresponding to Markovian randomized stopping times
by: Schultz, Boy
Published: (2024)
by: Schultz, Boy
Published: (2024)
The stationary horizon and semi-infinite geodesics in the directed landscape
by: Busani, Ofer, et al.
Published: (2022)
by: Busani, Ofer, et al.
Published: (2022)
The random stable roommates problem typically has no solution
by: Chin, Byron, et al.
Published: (2026)
by: Chin, Byron, et al.
Published: (2026)
Optimal control problem for reflected stochastic differential equation: existence
by: Laayoun, Ayoub, et al.
Published: (2025)
by: Laayoun, Ayoub, et al.
Published: (2025)
The moment problem for random objects in a category
by: Sawin, Will, et al.
Published: (2022)
by: Sawin, Will, et al.
Published: (2022)
Numerical approximation of Markovian BSDEs in infinite horizon and elliptic PDEs
by: Gobet, Emmanuel, et al.
Published: (2026)
by: Gobet, Emmanuel, et al.
Published: (2026)
Mean-field games of optimal stopping: master equation and weak equilibria
by: Possamaï, Dylan, et al.
Published: (2023)
by: Possamaï, Dylan, et al.
Published: (2023)
Inference for dynamic Erdős-Rényi random graphs under regime switching
by: Mandjes, Michel, et al.
Published: (2025)
by: Mandjes, Michel, et al.
Published: (2025)
Eigenvector distribution of random matrices under critical finite-rank deformations
by: Bao, Zhigang, et al.
Published: (2026)
by: Bao, Zhigang, et al.
Published: (2026)
Risk-neutral limit of adaptive importance sampling of random stopping times
by: Hartmann, Carsten, et al.
Published: (2024)
by: Hartmann, Carsten, et al.
Published: (2024)
Certain results on uniform circle random covering problems
by: Karagulyan, D.
Published: (2025)
by: Karagulyan, D.
Published: (2025)
Similar Items
-
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024) -
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
by: Choulli, Tahir, et al.
Published: (2024) -
The second-order Esscher martingale densities for continuous-time market models
by: Choulli, Tahir, et al.
Published: (2024) -
New Stochastic Fubini Theorems
by: Choulli, Tahir, et al.
Published: (2024) -
A new stochastic diffusion process to model and predict electricity production from natural gas sources in the United States
by: Alsheyab, Safa'
Published: (2025)