共查询到20条相似文献,搜索用时 75 毫秒
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李富春 《数理统计与应用概率》1994,9(1):32-37
本文用不同于传统的方法,求出一个类停时问题最佳费用函数的解析表达式并构造出了依赖于此函数的最佳停时,此外,本文借助类停时问题的最佳费用函数求出了一类奇异型随机控制的最佳费用函数。 相似文献
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离散时间美式期权套期及停时分析 总被引:1,自引:1,他引:0
本文主要证明了在不存在交易成本的市场假设下离散时间美式期权套期价值过程{Vt,Ft,t≥0}为鞅。并且研究了美式期权的停时,分别给出了美式期权的可停时,首停时,最优停时的方程表达式,同时讨论了与他们相关的期望特征,以及研究了美式期权定价问题。 相似文献
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利用随机停时理论 ,考虑 R&D项目的连续投资策略 .在折现率大于零的情况下 ,给出了具有建设期和残值的不确定性的 R&D投资模型、放弃 R&D项目投资的临界值和最优决策规则 ,并讨论参数对临界值的影响 .也进一步验证了随机停时理论和实物期权理论在投资决策分析中的一致性 . 相似文献
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针对跳扩散模型下鞅测度不唯一的问题,利用识别定理和Riccati方程研究了跳扩散模型下带停时的均值-方差随机控制问题,得到了相对收益过程最优投资策略的显式解及相应的最优停时,并且给出了在最优停止时间的均值方差有效边界. 相似文献
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以随机分析和最优控制理论为基础,讨论了一类带停时的奇异型随机控制问题.在原模型状态过程的基础上添加了漂移因子,并将原模型中的控制费用函数推广为一般的费用函数.在某些条件下,得到"跳一停"策略是其最优控制策略,并给出了"跳一停"策略存在的条件以及控制方法,所得的结论在实际中有较深的应用背景. 相似文献
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在这篇文章中,我们证明了正倒向随机微分方程的解的存在性和唯一性,其中,倒向随机微分方程的终端时为一有限的停时。 相似文献
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Sören Christensen Albrecht Irle 《Stochastics An International Journal of Probability and Stochastic Processes》2019,91(5):728-753
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height variables. In case that the original problem has a one-sided solution and the auxiliary problem has a monotone structure, the corresponding myopic stopping time is optimal for the original problem as well. This elementary line of argument directly leads to a characterization of the optimal boundary in the original problem. The optimal threshold is given by the threshold of the myopic stopping time in the auxiliary problem. Supplying also a sufficient condition for our approach to work, we obtain solutions for many prominent examples in the literature, among others the problems of Novikov-Shiryaev, Shepp-Shiryaev, and the American put in option pricing under general conditions. As a further application we show that for underlying random walks (and Lévy processes in continuous time), general monotone and log-concave reward functions g lead to one-sided stopping problems. 相似文献
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Albrecht Irle 《Mathematical Methods of Operations Research》1995,42(3):345-359
We consider two-person zero-sum games of stopping: two players sequentially observe a stochastic process with infinite time horizon. Player I selects a stopping time and player II picks the distribution of the process. The pay-off is given by the expected value of the stopped process. Results of Irle (1990) on existence of value and equivalence of randomization for such games with finite time horizon, where the set of strategies for player II is dominated in the measure-theoretical sense, are extended to the infinite time case. Furthermore we treat such games when the set of strategies for player II is not dominated. A counterexample shows that even in the finite time case such games may not have a value. Then a sufficient condition for the existence of value is given which applies to prophet-type games. 相似文献
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中止规则的平均延迟时间及其应用 总被引:1,自引:1,他引:0
本文以平均延迟时间为度量,对适用于连续抽样方案的四种中止规则,即规则[S],[R],[N,c]及[R,d]的中止“速度”进行了比较。结果表明:[R]优于[S],而[N,c]与[R,d]均优于[R]。这些结论及方法可被用来适当地选择中止规则,以提高连续型生产的质量控制水平 相似文献
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A generalisation of the notion of stopping time is stated, and related to similar generalisations introduced by Bahadur, Kemperman, Siegmund and others with a view to permitting auxilliary experimentation to enter into the definition of stopping rule. The main aim of this note is to draw attention to the conditional independence implicit in the definitions of these writers, and briefly indicate some consequences of this. 相似文献
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Cloud Makasu 《Numerical Functional Analysis & Optimization》2013,34(6):777-781
In this note, using the well-known method of scalarization, we give an explicit characterization of the Pareto optimal stopping time for a vector-valued optimal stopping problem with only two reward functions. The present problem is a natural generalization of the classical McDonald-Siegel optimal stopping problem. 相似文献
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股票操作中的选时即决定何时买进何时卖出是人们进行操作时最为关心的,本文运用最优停止及时间序更的理论和方法,给出了一种较优的具体操作方法。 相似文献
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J. L. Menaldi 《Journal of Optimization Theory and Applications》1982,36(4):535-563
A stopping time problem for degenerate reflected diffusions is studied in this paper. We give a characterization of the optimal cost as the maximum solution of a degenerate elliptic variational inequality with Neumann boundary conditions.The author would like to thank Professor L. C. Evans for very helpful suggestions on this topic. 相似文献
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This paper attempts to study the optimal stopping time for semi- Markov processes (SMPs) under the discount optimization criteria with unbounded cost rates. In our work, we introduce an explicit construction of the equivalent semi-Markov decision processes (SMDPs). The equivalence is embodied in the expected discounted cost functions of SMPs and SMDPs, that is, every stopping time of SMPs can induce a policy of SMDPs such that the value functions are equal, and vice versa. The existence of the optimal stopping time of SMPs is proved by this equivalence relation. Next, we give the optimality equation of the value function and develop an effective iterative algorithm for computing it. Moreover, we show that the optimal and ε-optimal stopping time can be characterized by the hitting time of the special sets. Finally, to illustrate the validity of our results, an example of a maintenance system is presented in the end. 相似文献
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We prove that every two-player non-zero-sum Dynkin game in continuous time admits an ?-equilibrium in randomized stopping times. We provide a condition that ensures the existence of an ?-equilibrium in non-randomized stopping times. 相似文献