scholarly journals Some results on optimal stopping under phase-type distributed implementation delay

2020 ◽  
Vol 91 (3) ◽  
pp. 559-583
Author(s):  
Jukka Lempa
Keyword(s):  
General Result ◽  
Optimal Stopping ◽  
Waiting Period ◽  
Coxian Distribution ◽  
Diffusion Dynamics ◽  
Phase Type ◽  
Distributed Implementation ◽  
Implementation Delay ◽  
Scalar Diffusion ◽  
Strong Markov

AbstractWe study optimal stopping of strong Markov processes under random implementation delay. By random implementation delay we mean the following: the payoff is not realised immediately when the process is stopped but rather after a random waiting period. The distribution of the random waiting period is assumed to be phase-type. We prove first a general result on the solvability of the problem. Then we study the case of Coxian distribution both in general and with scalar diffusion dynamics in more detail. The study is concluded with two explicit examples.

scholarly journals Phase-Type Distributions and Optimal Stopping for Autoregressive Processes

2012 ◽  
Vol 49 (01) ◽  
pp. 22-39 ◽  
Author(s):  
Sören Christensen
Keyword(s):  
Optimal Stopping ◽  
Special Interest ◽  
Joint Distribution ◽  
Explicit Solutions ◽  
Autoregressive Processes ◽  
Phase Type ◽  
Phase Type Distributions ◽  
Threshold Time

Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications, the overshoot and the threshold time are of special interest. When the upward innovations are in the class of phase-type distributions, we determine the joint distribution of these two quantities and apply this result to problems of optimal stopping. Using a principle of continuous fit, this leads to explicit solutions.

scholarly journals Phase-Type Distributions and Optimal Stopping for Autoregressive Processes

2012 ◽  
Vol 49 (1) ◽  
pp. 22-39 ◽  
Author(s):  
Sören Christensen
Keyword(s):  
Optimal Stopping ◽  
Special Interest ◽  
Joint Distribution ◽  
Explicit Solutions ◽  
Autoregressive Processes ◽  
Phase Type ◽  
Phase Type Distributions ◽  
Threshold Time

Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications, the overshoot and the threshold time are of special interest. When the upward innovations are in the class of phase-type distributions, we determine the joint distribution of these two quantities and apply this result to problems of optimal stopping. Using a principle of continuous fit, this leads to explicit solutions.

scholarly journals OPTIMAL STOPPING WITH DELAYED INFORMATION

2005 ◽  
Vol 05 (02) ◽  
pp. 271-280 ◽  
Author(s):  
BERNT ØKSENDAL
Keyword(s):  
Optimal Stopping ◽  
Time Lag ◽  
Stopping Time ◽  
Resource Extraction ◽  
Optimal Time ◽  
Optimal Stopping Problem ◽  
Delayed Information ◽  
Optimal Resource ◽  
Flow Of Information ◽  
Strong Markov

We study a general optimal stopping problem for a strong Markov process in the case when there is a time lag δ > 0 from the time τ when the decision to stop is taken (a stopping time) to the time τ + δ when the system actually stops. Equivalently, we impose the constraint that the admissible times for stopping are stopping (Markov) times with respect to the delayed flow of information. It is shown that such a problem can be reduced to a classical optimal stopping problem by a simple transformation. The results are applied: (i) to find the optimal time to sell an asset (ii) to solve an optimal resource extraction problem, in both cases under delayed information flow.

Averaging problems of running processes associated with Brownian motion and applications

2015 ◽  
Vol 26 (03) ◽  
pp. 1550028
Author(s):  
Bao Quoc Ta
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
Markov Processes ◽  
Optimal Stopping ◽  
Explicit Solutions ◽  
Reflecting Brownian Motion ◽  
Crucial Feature ◽  
Excessive Functions ◽  
Optimal Stopping Problems ◽  
Strong Markov

Recently the new technique to solve optimal stopping problems for Hunt processes is developed (see [S. Christensen, P. Salminen and B. Q. Ta, Optimal stopping of strong Markov processes, Stochastic Process. Appl. 123(3) (2013) 1138–1159]). The crucial feature of the approach is to utilize the representation of the r-excessive functions as expected suprema. However, it seems to be difficult when applying directly the approach to some concrete cases, e.g. one-sided problem for reflecting Brownian motion and two-sided problem for Brownian motion. In this paper, we review and exploit this approach to find explicit solutions of two problems above.

scholarly journals Optimal stopping of strong Markov processes

2013 ◽  
Vol 123 (3) ◽  
pp. 1138-1159 ◽  
Author(s):  
Sören Christensen ◽  
Paavo Salminen ◽  
Bao Quoc Ta
Keyword(s):  
Markov Processes ◽  
Optimal Stopping ◽  
Strong Markov

CONTRACEPTION BY AN INJECTABLE LONG-ACTING OESTROGEN-PROGESTOGEN AGENT. III

1972 ◽  
Vol 69 (1) ◽  
pp. 67-76
Author(s):  
Rolf Plesner
Keyword(s):  
Treatment Period ◽  
Treatment Cycle ◽  
Post Treatment ◽  
Mixed Phase ◽  
Discontinuation Of Treatment ◽  
Phase Type ◽  
Secretory Type ◽  
Pre Treatment ◽  
Long Acting ◽  
Fertile Women

ABSTRACT Twenty-two fertile women were treated cyclically in from 4–30 cycles (mean 15.5) with a total of 341 injections of Deladroxate®, an injectable, long-acting oestrogen-progestogen. The injections were administered on the 8th (7th–9th) day of each cycle. Before treatment, the last pre-treatment cycle was controlled by means of daily recordings of the basal body temperature (BBT), urinary excretion of pregnanediol and total pituitary gonadotrophins at certain intervals, and by endometrial biopsies obtained late in the cycle. The effects of Deladroxate® on ovulation, on pituitary gonadotrophic function, and on the endometrium were controlled by the above mentioned parameters during cycles 1, 3, and 6, and all assessments were repeated after discontinuation of treatment. During treatment, there was a statistically significant fall in gonadotrophin excretion values (as compared with the pre-treatment values), and the fall was found to be gradually progressive during treatment. After discontinuation of treatment, there seemed to be a tendency towards an increase in the excretion values. Suppression of ovulation as determined by means of the pregnanediol excretion during treatment, was effective in nearly all of the treatment cycles checked. The fall in pregnanediol excretion was also gradually progressive during treatment, while there was a slight increase in excretion values in the post-treatment period. During treatment, 79 BBT curves were recorded. Nearly 50 % were monophasic, indicating anovulatory cycles, 17 curves were biphasic, but with the rise in temperature occurring at non-characteristic times in the cycles, 18 curves were classified as thermogenic because of a rise in temperature occurring within 24 hours after the injection, and 5 curves were not assessable. During the first month after discontinuation of treatment, 8 out of 10 recorded curves were monophasic. Out of 53 endometrial biopsies obtained around the 23rd day of the cycle, 31 were of the mixed phase type, but showing a predominance of proliferative patterns, 15 were of the secretory type, and 7 were purely proliferative. Out of 15 biopsies obtained in the post-treatment period, only two were of the mixed phase type, 12 were proliferative and one was purely secretory.

Ijtihad Ibn Qayyim Al-Jawziyyah dan al-Maqāṣid al-Juz’iyyah: Refleksi Penyelesaian Kasus Hukum Islam

2018 ◽  
Vol 12 (1) ◽  
pp. 71-86 ◽  
Author(s):  
Nofialdi Nofialdi
Keyword(s):  
Waiting Period ◽  
Left Behind ◽  
The Law ◽  
Camel Meat ◽  
General Scale

The understanding of a mujtahid toward maqāṣid al-syarīʻah becomes something urgent and significant, since ijtihad must be able to realize benefits, which is the substance of maqāṣid al-syarīʻah both in the general scale (‘āmmah), special (khāṣṣah), as well as in scale for specific cases (juz`iyyah). Ibn Qayyim, for example, in most cases is very concerned about maqāṣid al-syarī'ah, which one of its parts is al-maqāṣid al-juz’iyyah. In the case of the necessity of cleaning urine trails, specifically (juz'ī) it is not required to the urine of baby boys. This clearly shows that Ibn Qayyim is very concerned about al-maqāṣid al-juz’iyyah, because it is difficult to clean urine traces of baby boys so that it is not required to clean it up but simply by splashing water on the traces. Likewise in other cases, such as the necessity of ablution after eating camel meat, which is not required to be other than camel meat, the sale and purchase of salam (order) and the waiting period of women left behind, also shows that Ibn Qayyim is very concerned with the realization of al-maqāṣid al-juz’iyyah in establishing the law .

Resource Utilization and Expenditures During the “Watchful Waiting” Period in Patients With Recurrent Ovarian Cancer

2019 ◽  
Vol 5 (1) ◽  
pp. 40-48 ◽  
Author(s):  
Brooke Harrow ◽  
Karin Travers ◽  
Brian M Davis ◽  
Paula Smith ◽  
Adrienne M Gilligan ◽  
...  
Keyword(s):  
Ovarian Cancer ◽  
Resource Utilization ◽  
Watchful Waiting ◽  
Recurrent Ovarian Cancer ◽  
Waiting Period

Faktor-Faktor yang Berpengaruh dalam Mendapatkan Pekerjaan bagi Lulusan Statistika IPB dengan Menggunakan Metode CHAID

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
Aulia Dwi Oktavia ◽  
Aam Alamudi ◽  
Budi Susetyo
Keyword(s):  
College Graduates ◽  
Influential Factors ◽  
Classification Model ◽  
Statistical Software ◽  
Waiting Period ◽  
Level Of Education ◽  
Economic Problems ◽  
Factors Influencing

Unemployment is one of the economic problems in Indonesia. Judging from the level of education that was completed there were unemployment from the level of college graduates. This encourages the level of competition in getting jobs to be more stringent, so that college graduates (bachelor of Statistics in IPB) must have the preparation of various factors to maintain the quality of their graduates. The quality of college graduates can be seen from the length of time waiting to get a job. This study aims to determine the influential factors in getting a job for graduates of the IPB Statistics degree, so that the CHAID method can be used in this study. The results of CHAID's analysis in this study in the form of tree diagrams using α = 10% explained that the factors influencing the waiting period variables were sex, internship, and the ability to master statistical software, where the accuracy value generated by the classification model was 79.3 %.

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