Multiple Stopping Problems
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Multiple Stopping Problems
This book presents the theory of rational decisions involving the selection of stopping times in observed discrete-time stochastic processes, both by single and multiple decision-makers. Readers will become acquainted with the models, strategies, and applications of these models. It begins with an examination of selected models framed as stochastic optimization challenges, emphasizing the critical role of optimal stopping times in sequential statistical procedures. The authors go on to explore models featuring multiple stopping and shares on leading applications, particularly focusing on change point detection, selection problems, and the nuances of behavioral ecology. In the following chapters, an array of perspectives on model strategies is presented, elucidating their interpretation and the methodologies underpinning their genesis. Essential notations and definitions are introduced, examining general theorems about solution existence and structure, with an intricate analysis of optimal stopping predicaments and addressing crucial multilateral models. The reader is presented with the practical application of models based on multiple stopping within stochastic processes. The coverage includes a diverse array of domains, including sequential statistics, finance, economics, and the broader generalization of the best-choice problem. Additionally, it delves into numerical and asymptotic solutions, offering a comprehensive exploration of optimal stopping quandaries. The book will be of interest to researchers and practitioners in fields such as economics, finance, and engineering. It could also be used by graduate students doing a research degree in insurance, economics or business analytics or an advanced undergraduate course in mathematical sciences.
Inspired by Finance
Author: Yuri Kabanov
language: en
Publisher: Springer Science & Business Media
Release Date: 2013-10-23
The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.
Frontiers of Dynamic Games
This volume collects contributions from the talks given at the Game Theory and Management Conference held in St. Petersburg, Russia, in June 2017. It covers a wide spectrum of topics, among which are: game theory and management applications in fields such as: strategic management, industrial organization, marketing, operations and supply chain management, public management, financial management, human resources, energy and resource management, and others; cooperative games; dynamic games; evolutionary games; stochastic games.