Optimal stopping with discount and observation costs

2000 ◽  
Vol 37 (01) ◽  
pp. 64-72 ◽  
Author(s):  
Robert Kühne ◽  
Ludger Rüschendorf
Keyword(s):  
Differential Equations ◽  
Optimal Stopping ◽  
Point Processes ◽  
Numerical Solutions ◽  
Domain Of Attraction ◽  
Approximate Solutions ◽  
Poisson Approximation ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
Optimal Stopping Times

For i.i.d. random variables in the domain of attraction of a max-stable distribution with discount and observation costs we determine asymptotic approximations of the optimal stopping values and asymptotically optimal stopping times. The results are based on Poisson approximation of related embedded planar point processes. The optimal stopping problem for the limiting Poisson point processes can be reduced to differential equations for the boundaries. In several cases we obtain numerical solutions of the differential equations. In some cases the analysis allows us to obtain explicit optimal stopping values. This approach thus leads to approximate solutions of the optimal stopping problem of discrete time sequences.

Optimal stopping with discount and observation costs

2000 ◽  
Vol 37 (1) ◽  
pp. 64-72 ◽  
Author(s):  
Robert Kühne ◽  
Ludger Rüschendorf
Keyword(s):  
Differential Equations ◽  
Optimal Stopping ◽  
Point Processes ◽  
Numerical Solutions ◽  
Domain Of Attraction ◽  
Approximate Solutions ◽  
Poisson Approximation ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
Optimal Stopping Times

For i.i.d. random variables in the domain of attraction of a max-stable distribution with discount and observation costs we determine asymptotic approximations of the optimal stopping values and asymptotically optimal stopping times. The results are based on Poisson approximation of related embedded planar point processes. The optimal stopping problem for the limiting Poisson point processes can be reduced to differential equations for the boundaries. In several cases we obtain numerical solutions of the differential equations. In some cases the analysis allows us to obtain explicit optimal stopping values. This approach thus leads to approximate solutions of the optimal stopping problem of discrete time sequences.

CHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATING

2014 ◽  
Vol 28 (3) ◽  
pp. 335-352 ◽  
Author(s):  
Evgueni Gordienko ◽  
Andrey Novikov
Keyword(s):  
Optimal Stopping ◽  
Transition Probabilities ◽  
Measurable Space ◽  
Stopping Rules ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
The Stability ◽  
Image Position ◽  
Optimal Stopping Times ◽  
Natural Classes

We consider an optimal stopping problem for a general discrete-time process X1, X2, …, Xn, … on a common measurable space. Stopping at time n (n = 1, 2, …) yields a reward Rn(X1, …, Xn) ≥ 0, while if we do not stop, we pay cn(X1, …, Xn) ≥ 0 and keep observing the process. The problem is to characterize all the optimal stopping times τ, i.e., such that maximize the mean net gain: $$E(R_\tau(X_1,\dots,X_\tau)-\sum_{n=1}^{\tau-1}c_n(X_1,\dots,X_n)).$$ We propose a new simple approach to stopping problems which allows to obtain not only sufficient, but also necessary conditions of optimality in some natural classes of (randomized) stopping rules.In the particular case of Markov sequence X1, X2, … we estimate the stability of the optimal stopping problem under perturbations of transition probabilities.

scholarly journals Numerical Solutions of Coupled Systems of Fractional Order Partial Differential Equations

2017 ◽  
Vol 2017 ◽  
pp. 1-14 ◽  
Author(s):  
Yongjin Li ◽  
Kamal Shah
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Fractional Order ◽  
Numerical Solutions ◽  
Approximate Solutions ◽  
Coupled Systems ◽  
Test Problems ◽  
Operational Matrices ◽  
Partial Differential ◽  
Established Technique

We develop a numerical method by using operational matrices of fractional order integrations and differentiations to obtain approximate solutions to a class of coupled systems of fractional order partial differential equations (FPDEs). We use shifted Legendre polynomials in two variables. With the help of the aforesaid matrices, we convert the system under consideration to a system of easily solvable algebraic equation of Sylvester type. During this process, we need no discretization of the data. We also provide error analysis and some test problems to demonstrate the established technique.

Closed-Form Approximations to the Solution of V-Belt Force and Slip Equations

1985 ◽  
Vol 107 (2) ◽  
pp. 292-300 ◽  
Author(s):  
J. P. Dolan ◽  
W. S. Worley
Keyword(s):  
Differential Equations ◽  
Closed Form ◽  
Numerical Solutions ◽  
Approximate Solutions ◽  
Design Practice ◽  
Tension Distribution ◽  
Analytical Approximations ◽  
Current Design

A method for generating accurate numerical solutions of the exact differential equations describing tension distribution and radial penetration of a flexible V-belt on driveN and driveR sheaves is presented and results are compared with approximate solutions reported in the literature. Analytical approximations for these solutions of higher accuracy than any previously published have been found and are presented. They suggest important modifications of current design practice for belt tensioning and life appraisal.

Solution of Initial and Boundary Value Problems by an Effective Accurate Method

2017 ◽  
Vol 14 (06) ◽  
pp. 1750069 ◽  
Author(s):  
Mustafa Turkyilmazoglu
Keyword(s):  
Differential Equations ◽  
Exact Solutions ◽  
Boundary Value Problems ◽  
Numerical Solutions ◽  
Boundary Value ◽  
Taylor Series Expansion ◽  
Approximate Solutions ◽  
Accurate Method ◽  
Linear Differential ◽  
Appl Math

The newly proposed analytic approximate solution method in the recent publications [Turkyilmazoglu, M. [2013] “Effective computation of exact and analytic approximate solutions to singular nonlinear equations of Lane-Emden-Fowler type,” Appl. Math. Mod. 37, 7539–7548; Turkyilmazoglu, M. [2014] “An effective approach for numerical solutions of high-order Fredholm integro-differential equations,” Appl. Math. Comput. 227, 384–398; Turkyilmazoglu, M. [2015] “Parabolic partial differential equations with nonlocal initial and boundary values,” Int. J. Comput. Methods, doi: 10.1142/S0219876215500243] is extended in this paper to solve initial and boundary value problems governed by any order linear differential equations whose exact solutions are hard to obtain. Exact solutions are found from the method when the solutions are themselves polynomials. Better accuracies are achieved within the method by increasing the number of polynomials. Comparisons with some available methods show the ability of the proposed technique, even performing much better than the traditional Taylor series expansion.

Variance Optimal Stopping for Geometric Lévy Processes

2015 ◽  
Vol 47 (01) ◽  
pp. 128-145 ◽  
Author(s):  
Kamille Sofie Tågholt Gad ◽  
Jesper Lund Pedersen
Keyword(s):  
Optimal Stopping ◽  
Lévy Process ◽  
Lévy Processes ◽  
Levy Processes ◽  
Levy Process ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
Maximum Variance ◽  
Geometric Levy Process

The main result of this paper is the solution to the optimal stopping problem of maximizing the variance of a geometric Lévy process. We call this problem the variance problem. We show that, for some geometric Lévy processes, we achieve higher variances by allowing randomized stopping. Furthermore, for some geometric Lévy processes, the problem has a solution only if randomized stopping is allowed. When randomized stopping is allowed, we give a solution to the variance problem. We identify the Lévy processes for which the allowance of randomized stopping times increases the maximum variance. When it does, we also solve the variance problem without randomized stopping.

scholarly journals UNSTEADY BOUNDARY LAYERS: CONVECTIVE HEAT TRANSFER OVER A VERTICAL FLAT PLATE

2009 ◽  
Vol 50 (4) ◽  
pp. 541-549 ◽  
Author(s):  
ROBERT A. VAN GORDER ◽  
K. VAJRAVELU
Keyword(s):  
Heat Transfer ◽  
Differential Equations ◽  
Numerical Solutions ◽  
Approximate Solutions ◽  
Shear Thinning ◽  
Momentum Equation ◽  
Physical Parameters ◽  
Flow And Heat Transfer ◽  
Special Cases ◽  
Layer Flow

AbstractIn this paper, we extend the results in the literature for boundary layer flow over a horizontal plate, by considering the buoyancy force term in the momentum equation. Using a similarity transformation, we transform the partial differential equations of the problem into coupled nonlinear ordinary differential equations. We first analyse several special cases dealing with the properties of the exact and approximate solutions. Then, for the general problem, we construct series solutions for arbitrary values of the physical parameters. Furthermore, we obtain numerical solutions for several sets of values of the parameters. The numerical results thus obtained are presented through graphs and tables and the effects of the physical parameters on the flow and heat transfer characteristics are discussed. The results obtained reveal many interesting behaviours that warrant further study of the equations related to non-Newtonian fluid phenomena, especially the shear-thinning phenomena. Shear thinning reduces the wall shear stress.

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