Grigorova, Miryana; Quenez, Marie-Claire; Yuan, Peng Optimal stopping: Bermudan strategies meet non-linear evaluations. (English) Zbl 07904064 Electron. J. Probab. 29, Paper No. 102, 29 p. (2024). MSC: 60G40 60G48 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Electron. J. Probab. 29, Paper No. 102, 29 p. (2024; Zbl 07904064) Full Text: DOI arXiv Link OA License
Kifer, Yuri Some strong limit theorems in averaging. (English) Zbl 07901683 Commun. Math. Phys. 405, No. 9, Paper No. 210, 48 p. (2024). MSC: 34C29 60F15 60G40 91A05 PDFBibTeX XMLCite \textit{Y. Kifer}, Commun. Math. Phys. 405, No. 9, Paper No. 210, 48 p. (2024; Zbl 07901683) Full Text: DOI arXiv OA License
De Cesare, Luigi; Cananà, Lucianna; Ciano, Tiziana; Ferrara, Massimiliano Modeling financial leasing by optimal stopping approach. (English) Zbl 07890797 Decis. Econ. Finance 47, No. 1, 199-213 (2024). MSC: 91G50 91B70 60G40 PDFBibTeX XMLCite \textit{L. De Cesare} et al., Decis. Econ. Finance 47, No. 1, 199--213 (2024; Zbl 07890797) Full Text: DOI OA License
Nwankwo, Chinonso I.; Dai, Weizhong Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model. (English) Zbl 07890791 Decis. Econ. Finance 47, No. 1, 43-82 (2024). MSC: 91G60 65M50 65M06 65L06 65D05 91G20 60G40 PDFBibTeX XMLCite \textit{C. I. Nwankwo} and \textit{W. Dai}, Decis. Econ. Finance 47, No. 1, 43--82 (2024; Zbl 07890791) Full Text: DOI
Hamadène, Said; Hassani, Mohammed; Morlais, Marie-Amélie \(\varepsilon\)-Nash equilibria of a multi-player nonzero-sum Dynkin game in discrete time. (English) Zbl 07889787 Dyn. Games Appl. 14, No. 3, 642-664 (2024). MSC: 91A55 60G40 91A11 91A50 91A68 PDFBibTeX XMLCite \textit{S. Hamadène} et al., Dyn. Games Appl. 14, No. 3, 642--664 (2024; Zbl 07889787) Full Text: DOI arXiv
Ernst, Philip A.; Ma, Xiaohang; Nazari, Masoud H.; Qian, Hongjiang; Wang, Le Yi; Yin, George Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems. (English) Zbl 07889330 Nonlinear Anal., Hybrid Syst. 53, Article ID 101507, 15 p. (2024). MSC: 65C30 60G40 60J99 PDFBibTeX XMLCite \textit{P. A. Ernst} et al., Nonlinear Anal., Hybrid Syst. 53, Article ID 101507, 15 p. (2024; Zbl 07889330) Full Text: DOI
Novikov, Andrey Group sequential hypothesis tests with variable group sizes: optimal design and performance evaluation. (English) Zbl 07887786 Commun. Stat., Theory Methods 53, No. 16, 5744-5760 (2024). MSC: 62L10 62L15 62F03 60G40 PDFBibTeX XMLCite \textit{A. Novikov}, Commun. Stat., Theory Methods 53, No. 16, 5744--5760 (2024; Zbl 07887786) Full Text: DOI arXiv
Agram, Nacira; Øksendal, Bernt Optimal stopping of conditional McKean-Vlasov jump diffusions. (English) Zbl 07885785 Syst. Control Lett. 188, Article ID 105815, 7 p. (2024). MSC: 93E03 60G40 93C20 35Q84 35R60 PDFBibTeX XMLCite \textit{N. Agram} and \textit{B. Øksendal}, Syst. Control Lett. 188, Article ID 105815, 7 p. (2024; Zbl 07885785) Full Text: DOI arXiv
Bovo, Andrea; De Angelis, Tiziano; Palczewski, Jan Zero-sum stopper versus singular-controller games with constrained control directions. (English) Zbl 07885162 SIAM J. Control Optim. 62, No. 4, 2203-2228 (2024). MSC: 91A10 91A15 60G40 93E20 49J40 PDFBibTeX XMLCite \textit{A. Bovo} et al., SIAM J. Control Optim. 62, No. 4, 2203--2228 (2024; Zbl 07885162) Full Text: DOI arXiv
Dertwinkel-Kalt, Markus; Frey, Jonas Optimal stopping in a dynamic salience model. (English) Zbl 07880905 Int. Econ. Rev. 65, No. 2, 885-913 (2024). MSC: 91B06 60G40 PDFBibTeX XMLCite \textit{M. Dertwinkel-Kalt} and \textit{J. Frey}, Int. Econ. Rev. 65, No. 2, 885--913 (2024; Zbl 07880905) Full Text: DOI OA License
El-Hadidy, Mohamed Abd Allah; Alraddadi, R. Studying the influence of antimicrobial resistance on the probability distribution of densities for synchronization growing of different kinds of bacteria. (English) Zbl 07880698 J. Comput. Theor. Transp. 53, No. 1, 51-68 (2024). MSC: 82-XX 46N55 60G51 60G40 PDFBibTeX XMLCite \textit{M. A. A. El-Hadidy} and \textit{R. Alraddadi}, J. Comput. Theor. Transp. 53, No. 1, 51--68 (2024; Zbl 07880698) Full Text: DOI
Brown, Marlo Monitoring a sequence of Bernoulli random variables subject to gradual changes in the success rates where the success rates are unknown. (English) Zbl 07879950 Sequential Anal. 43, No. 2, 233-247 (2024). MSC: 62L15 60G40 PDFBibTeX XMLCite \textit{M. Brown}, Sequential Anal. 43, No. 2, 233--247 (2024; Zbl 07879950) Full Text: DOI
Ernst, P. A.; Mei, H.; Peskir, G. Quickest real-time detection of multiple Brownian drifts. (English) Zbl 07878644 SIAM J. Control Optim. 62, No. 3, 1832-1856 (2024). MSC: 60G40 60J65 60H30 35H10 45G10 62C10 PDFBibTeX XMLCite \textit{P. A. Ernst} et al., SIAM J. Control Optim. 62, No. 3, 1832--1856 (2024; Zbl 07878644) Full Text: DOI arXiv
Li, Libo; Wu, Zhuoshu Defaultable perpetual American put option in a last passage time model. (English) Zbl 07878499 Stat. Probab. Lett. 209, Article ID 110018, 5 p. (2024). MSC: 91G20 60G40 35R35 PDFBibTeX XMLCite \textit{L. Li} and \textit{Z. Wu}, Stat. Probab. Lett. 209, Article ID 110018, 5 p. (2024; Zbl 07878499) Full Text: DOI
Gonon, Lukas Deep neural network expressivity for optimal stopping problems. (English) Zbl 07874611 Finance Stoch. 28, No. 3, 865-910 (2024). MSC: 60G40 60J20 68T07 62M45 91G20 91G60 PDFBibTeX XMLCite \textit{L. Gonon}, Finance Stoch. 28, No. 3, 865--910 (2024; Zbl 07874611) Full Text: DOI arXiv OA License
Li, Peng; Zhou, Ming Optimal timing of business conversion for solvency improvement. (English) Zbl 07874584 Acta Math. Appl. Sin., Engl. Ser. 40, No. 3, 744-757 (2024). MSC: 60G40 91G50 93E20 PDFBibTeX XMLCite \textit{P. Li} and \textit{M. Zhou}, Acta Math. Appl. Sin., Engl. Ser. 40, No. 3, 744--757 (2024; Zbl 07874584) Full Text: DOI
Fujii, Kaito; Yoshida, Yuichi The secretary problem with predictions. (English) Zbl 07872335 Math. Oper. Res. 49, No. 2, 1241-1262 (2024). MSC: 60G40 90C27 PDFBibTeX XMLCite \textit{K. Fujii} and \textit{Y. Yoshida}, Math. Oper. Res. 49, No. 2, 1241--1262 (2024; Zbl 07872335) Full Text: DOI arXiv
Glover, Kristoffer; Peskir, Goran Quickest detection problems for Ornstein-Uhlenbeck processes. (English) Zbl 07872327 Math. Oper. Res. 49, No. 2, 1045-1064 (2024). MSC: 60G40 60J60 60H30 35K57 45G10 62C10 PDFBibTeX XMLCite \textit{K. Glover} and \textit{G. Peskir}, Math. Oper. Res. 49, No. 2, 1045--1064 (2024; Zbl 07872327) Full Text: DOI
Qin, Junjie; Vardi, Shai; Wierman, Adam Minimization fractional prophet inequalities for sequential procurement. (English) Zbl 07872323 Math. Oper. Res. 49, No. 2, 928-947 (2024). MSC: 68W27 60G40 PDFBibTeX XMLCite \textit{J. Qin} et al., Math. Oper. Res. 49, No. 2, 928--947 (2024; Zbl 07872323) Full Text: DOI
Dütting, Paul; Lattanzi, Silvio; Leme, Renato Paes; Vassilvitskii, Sergei Secretaries with advice. (English) Zbl 07872320 Math. Oper. Res. 49, No. 2, 856-879 (2024). MSC: 60G40 PDFBibTeX XMLCite \textit{P. Dütting} et al., Math. Oper. Res. 49, No. 2, 856--879 (2024; Zbl 07872320) Full Text: DOI arXiv
Bodnariu, Andi; Lindensjö, Kristoffer A controller-stopper-game with hidden controller type. (English) Zbl 07869141 Stochastic Processes Appl. 173, Article ID 104361, 19 p. (2024). MSC: 91A15 91A05 60G40 91A55 PDFBibTeX XMLCite \textit{A. Bodnariu} and \textit{K. Lindensjö}, Stochastic Processes Appl. 173, Article ID 104361, 19 p. (2024; Zbl 07869141) Full Text: DOI arXiv
Perninge, Magnus Optimal stopping of BSDEs with constrained jumps and related zero-sum games. (English) Zbl 07869135 Stochastic Processes Appl. 173, Article ID 104355, 29 p. (2024). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 93E20 91A15 PDFBibTeX XMLCite \textit{M. Perninge}, Stochastic Processes Appl. 173, Article ID 104355, 29 p. (2024; Zbl 07869135) Full Text: DOI arXiv
Mai, Ruifeng; Yang, Zhou; Lai, Yingyi; Lin, Jianwei Portfolio-consumption choice problem with voluntary retirement and consumption constraints. (English) Zbl 07866541 J. Comput. Appl. Math. 445, Article ID 115839, 27 p. (2024). MSC: 91G10 93E20 91G05 60G40 PDFBibTeX XMLCite \textit{R. Mai} et al., J. Comput. Appl. Math. 445, Article ID 115839, 27 p. (2024; Zbl 07866541) Full Text: DOI
Denisov, Denis; Wachtel, Vitali Green function for an asymptotically stable random walk in a half space. (English) Zbl 07865984 J. Theor. Probab. 37, No. 2, 1745-1786 (2024). MSC: 60G50 60G40 60J45 60F17 PDFBibTeX XMLCite \textit{D. Denisov} and \textit{V. Wachtel}, J. Theor. Probab. 37, No. 2, 1745--1786 (2024; Zbl 07865984) Full Text: DOI arXiv OA License
Dong, Yuchao Randomized optimal stopping problem in continuous time and reinforcement learning algorithm. (English) Zbl 07865496 SIAM J. Control Optim. 62, No. 3, 1590-1614 (2024). MSC: 91G20 60G40 91G60 68T07 60G22 PDFBibTeX XMLCite \textit{Y. Dong}, SIAM J. Control Optim. 62, No. 3, 1590--1614 (2024; Zbl 07865496) Full Text: DOI arXiv
Bruss, F. Thomas Mathematical intuition, deep learning, and Robbins’ problem. (English) Zbl 07864378 Jahresber. Dtsch. Math.-Ver. 126, No. 2, 69-93 (2024). MSC: 60G40 68T01 68T20 PDFBibTeX XMLCite \textit{F. T. Bruss}, Jahresber. Dtsch. Math.-Ver. 126, No. 2, 69--93 (2024; Zbl 07864378) Full Text: DOI arXiv
Zhang, Qi; Wang, Qi; Song, Haiming; Hao, Yongle Primal-dual active set method for evaluating American put options on zero-coupon bonds. (English) Zbl 07862445 Comput. Appl. Math. 43, No. 4, Paper No. 213, 18 p. (2024). MSC: 91G60 65M60 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{Q. Zhang} et al., Comput. Appl. Math. 43, No. 4, Paper No. 213, 18 p. (2024; Zbl 07862445) Full Text: DOI
Azze, Abel; D’Auria, Bernardo; García-Portugués, Eduardo Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (English) Zbl 07860059 Stochastics 96, No. 1, Article ID 2325402, 26 p. (2024). MSC: 91G20 60G40 60G10 35R35 PDFBibTeX XMLCite \textit{A. Azze} et al., Stochastics 96, No. 1, Article ID 2325402, 26 p. (2024; Zbl 07860059) Full Text: DOI arXiv
Krawiec, Michał; Palmowski, Zbigniew Multivariate Lévy-type drift change detection and mortality modeling. (English) Zbl 1537.91258 Eur. Actuar. J. 14, No. 1, 175-203 (2024). MSC: 91G05 60G51 60J74 60G40 PDFBibTeX XMLCite \textit{M. Krawiec} and \textit{Z. Palmowski}, Eur. Actuar. J. 14, No. 1, 175--203 (2024; Zbl 1537.91258) Full Text: DOI arXiv OA License
Herrera, Calypso; Krach, Florian; Ruyssen, Pierre; Teichmann, Josef Optimal stopping via randomized neural networks. (English) Zbl 1537.91325 Front. Math. Finance 3, No. 1, 31-77 (2024). MSC: 91G20 60G40 68T07 60G22 PDFBibTeX XMLCite \textit{C. Herrera} et al., Front. Math. Finance 3, No. 1, 31--77 (2024; Zbl 1537.91325) Full Text: DOI arXiv
Ding, Guodong; Marazzina, Daniele Effect of labour income on the optimal bankruptcy problem. (English) Zbl 1537.91366 Ann. Oper. Res. 336, No. 1-2, 773-795 (2024). MSC: 91G99 91B39 60G40 PDFBibTeX XMLCite \textit{G. Ding} and \textit{D. Marazzina}, Ann. Oper. Res. 336, No. 1--2, 773--795 (2024; Zbl 1537.91366) Full Text: DOI arXiv OA License
Profeta, Christophe Parisian times for linear diffusions. (English) Zbl 1537.91332 Theory Probab. Math. Stat. 110, 101-119 (2024). MSC: 91G20 60J60 60G40 PDFBibTeX XMLCite \textit{C. Profeta}, Theory Probab. Math. Stat. 110, 101--119 (2024; Zbl 1537.91332) Full Text: DOI arXiv
Han, Yuecai; Zheng, Xudong A deep learning method for pricing high-dimensional American-style options via state-space partition. (English) Zbl 07853481 Comput. Appl. Math. 43, No. 3, Paper No. 152, 26 p. (2024). MSC: 91G20 60G40 91G60 68T07 90C39 PDFBibTeX XMLCite \textit{Y. Han} and \textit{X. Zheng}, Comput. Appl. Math. 43, No. 3, Paper No. 152, 26 p. (2024; Zbl 07853481) Full Text: DOI
Kitapbayev, Yerkin; Robertson, Scott Mortgage contracts and underwater default. (English) Zbl 1537.91331 SIAM J. Financ. Math. 15, No. 2, 315-359 (2024). MSC: 91G20 35R35 60G40 PDFBibTeX XMLCite \textit{Y. Kitapbayev} and \textit{S. Robertson}, SIAM J. Financ. Math. 15, No. 2, 315--359 (2024; Zbl 1537.91331) Full Text: DOI arXiv
Islas, José A. Oscillation criteria for stopping near the top of a random walk. (English) Zbl 07845688 Bol. Soc. Mat. Mex., III. Ser. 30, No. 2, Paper No. 43, 15 p. (2024). MSC: 60G40 PDFBibTeX XMLCite \textit{J. A. Islas}, Bol. Soc. Mat. Mex., III. Ser. 30, No. 2, Paper No. 43, 15 p. (2024; Zbl 07845688) Full Text: DOI arXiv
Hsiau, Shoou-Ren; Yao, Yi-Ching Stochastic ordering results on the duration of the gambler’s ruin game. (English) Zbl 1537.60025 J. Appl. Probab. 61, No. 2, 603-621 (2024). MSC: 60E15 60G40 91A05 60J65 PDFBibTeX XMLCite \textit{S.-R. Hsiau} and \textit{Y.-C. Yao}, J. Appl. Probab. 61, No. 2, 603--621 (2024; Zbl 1537.60025) Full Text: DOI
Moustakides, George V.; Liu, Xujun; Milenkovic, Olgica Optimal stopping methodology for the secretary problem with random queries. (English) Zbl 07845406 J. Appl. Probab. 61, No. 2, 578-602 (2024). MSC: 60G40 62L15 PDFBibTeX XMLCite \textit{G. V. Moustakides} et al., J. Appl. Probab. 61, No. 2, 578--602 (2024; Zbl 07845406) Full Text: DOI arXiv
Ekström, Erik; Wang, Yuqiong Stopping problems with an unknown state. (English) Zbl 07845402 J. Appl. Probab. 61, No. 2, 515-528 (2024). MSC: 60G40 60G35 93E10 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{Y. Wang}, J. Appl. Probab. 61, No. 2, 515--528 (2024; Zbl 07845402) Full Text: DOI arXiv
Morrow, Gregory J. Gambler’s ruin with random stopping. (English) Zbl 1536.60040 Stoch. Models 40, No. 2, 224-260 (2024). MSC: 60G40 PDFBibTeX XMLCite \textit{G. J. Morrow}, Stoch. Models 40, No. 2, 224--260 (2024; Zbl 1536.60040) Full Text: DOI
Alvarez E., Luis H. R.; Lempa, Jukka; Saarinen, Harto; Sillanpää, Wiljami Solutions for Poissonian stopping problems of linear diffusions via extremal processes. (English) Zbl 07842660 Stochastic Processes Appl. 172, Article ID 104351, 23 p. (2024). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60J60 49K45 PDFBibTeX XMLCite \textit{L. H. R. Alvarez E.} et al., Stochastic Processes Appl. 172, Article ID 104351, 23 p. (2024; Zbl 07842660) Full Text: DOI
Azze, A.; D’Auria, B.; García-Portugués, E. Optimal stopping of an Ornstein-Uhlenbeck bridge. (English) Zbl 1536.60039 Stochastic Processes Appl. 172, Article ID 104342, 16 p. (2024). MSC: 60G40 60G15 PDFBibTeX XMLCite \textit{A. Azze} et al., Stochastic Processes Appl. 172, Article ID 104342, 16 p. (2024; Zbl 1536.60039) Full Text: DOI arXiv
Ekström, Erik; Milazzo, Alessandro A detection problem with a monotone observation rate. (English) Zbl 07842653 Stochastic Processes Appl. 172, Article ID 104337, 19 p. (2024). MSC: 60G40 93E20 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{A. Milazzo}, Stochastic Processes Appl. 172, Article ID 104337, 19 p. (2024; Zbl 07842653) Full Text: DOI
Brigo, Damiano; Graceffa, Federico; Kalinin, Alexander Mild to classical solutions for XVA equations under stochastic volatility. (English) Zbl 1536.91329 SIAM J. Financ. Math. 15, No. 1, 215-254 (2024). MSC: 91G20 60G40 60H30 35K58 PDFBibTeX XMLCite \textit{D. Brigo} et al., SIAM J. Financ. Math. 15, No. 1, 215--254 (2024; Zbl 1536.91329) Full Text: DOI arXiv
Averboukh, Yurii Zero-sum continuous-time Markov games with one-side stopping. (English) Zbl 07840830 J. Oper. Res. Soc. China 12, No. 1, 169-187 (2024). MSC: 91A10 91A15 90C39 60G40 PDFBibTeX XMLCite \textit{Y. Averboukh}, J. Oper. Res. Soc. China 12, No. 1, 169--187 (2024; Zbl 07840830) Full Text: DOI arXiv
Skarupski, Marek; Szajowski, Krzysztof J. The generalized Stackelberg equilibrium of the two-person stopping game. (English) Zbl 07840829 J. Oper. Res. Soc. China 12, No. 1, 155-168 (2024). MSC: 91A05 60G40 PDFBibTeX XMLCite \textit{M. Skarupski} and \textit{K. J. Szajowski}, J. Oper. Res. Soc. China 12, No. 1, 155--168 (2024; Zbl 07840829) Full Text: DOI OA License
He, Xiaoyu; Tang, Xueyan; Cai, Wentong; Li, Jingning A stochastic process approach for multi-agent path finding with non-asymptotic performance guarantees. (English) Zbl 1537.68196 Artif. Intell. 329, Article ID 104084, 30 p. (2024). MSC: 68T42 60G40 68T20 68W20 PDFBibTeX XMLCite \textit{X. He} et al., Artif. Intell. 329, Article ID 104084, 30 p. (2024; Zbl 1537.68196) Full Text: DOI
Bodnariu, Andi; Christensen, Sören; Lindensjö, Kristoffer Local time pushed mixed equilibrium strategies for time-inconsistent stopping problems. (English) Zbl 1535.60071 SIAM J. Control Optim. 62, No. 2, 1261-1290 (2024). MSC: 60G40 60J70 91A10 91A25 91G80 PDFBibTeX XMLCite \textit{A. Bodnariu} et al., SIAM J. Control Optim. 62, No. 2, 1261--1290 (2024; Zbl 1535.60071) Full Text: DOI arXiv
Hernández-Del-Valle, Gerardo; Guerra-Polania, Wincy A. On the heat equation with a moving boundary and applications to hitting times for Brownian motion. (English) Zbl 1537.35197 Stochastic Anal. Appl. 42, No. 1, 201-218 (2024). MSC: 35K05 35K08 35R37 60J65 60G40 PDFBibTeX XMLCite \textit{G. Hernández-Del-Valle} and \textit{W. A. Guerra-Polania}, Stochastic Anal. Appl. 42, No. 1, 201--218 (2024; Zbl 1537.35197) Full Text: DOI
Buzaianu, Elena M.; Chen, Pinyuen; Hsu, Lifang Selecting among treatments with two Bernoulli endpoints. (English) Zbl 07833912 Commun. Stat., Theory Methods 53, No. 6, 1964-1984 (2024). MSC: 60G40 62F07 62L05 PDFBibTeX XMLCite \textit{E. M. Buzaianu} et al., Commun. Stat., Theory Methods 53, No. 6, 1964--1984 (2024; Zbl 07833912) Full Text: DOI
Denisov, Denis; Wachtel, Vitali Random walks in cones revisited. (English. French summary) Zbl 07831627 Ann. Inst. Henri Poincaré, Probab. Stat. 60, No. 1, 126-166 (2024). MSC: 60G50 60G40 60F17 PDFBibTeX XMLCite \textit{D. Denisov} and \textit{V. Wachtel}, Ann. Inst. Henri Poincaré, Probab. Stat. 60, No. 1, 126--166 (2024; Zbl 07831627) Full Text: DOI arXiv
Di Crescenzo, Antonio; Spina, Serena; Vitolo, Antonio Existence of bounded solutions of fully nonlinear elliptic equations modeling the first passage time in cylindrical domains. (English) Zbl 07830526 Differ. Integral Equ. 37, No. 3-4, 237-266 (2024). MSC: 35J60 35B50 35B53 35D40 60J60 60G40 PDFBibTeX XMLCite \textit{A. Di Crescenzo} et al., Differ. Integral Equ. 37, No. 3--4, 237--266 (2024; Zbl 07830526) Full Text: DOI
Baurdoux, Erik J.; Pedraza, José M. \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process. (English) Zbl 07829785 Ann. Appl. Probab. 34, No. 1B, 1350-1402 (2024). MSC: 60G40 60G51 62M20 PDFBibTeX XMLCite \textit{E. J. Baurdoux} and \textit{J. M. Pedraza}, Ann. Appl. Probab. 34, No. 1B, 1350--1402 (2024; Zbl 07829785) Full Text: DOI arXiv
Brückerhoff, Martin; Huesmann, Martin Shadows and barriers. (English) Zbl 07829773 Ann. Appl. Probab. 34, No. 1B, 960-985 (2024). MSC: 60G40 60G42 60J45 PDFBibTeX XMLCite \textit{M. Brückerhoff} and \textit{M. Huesmann}, Ann. Appl. Probab. 34, No. 1B, 960--985 (2024; Zbl 07829773) Full Text: DOI arXiv
Bayraktar, Erhan; Yao, Song Optimal stopping with expectation constraints. (English) Zbl 1534.60051 Ann. Appl. Probab. 34, No. 1B, 917-959 (2024). MSC: 60G40 49L20 93E20 60G44 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{S. Yao}, Ann. Appl. Probab. 34, No. 1B, 917--959 (2024; Zbl 1534.60051) Full Text: DOI arXiv
Polavarapu, Achintya Raya Discrete stopping times in the lattice of continuous functions. (English) Zbl 1537.46003 Positivity 28, No. 2, Paper No. 25, 14 p. (2024). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 46A40 46E05 60G20 60G40 PDFBibTeX XMLCite \textit{A. R. Polavarapu}, Positivity 28, No. 2, Paper No. 25, 14 p. (2024; Zbl 1537.46003) Full Text: DOI arXiv
Kifer, Yuri Strong diffusion approximation in averaging and value computation in Dynkin’s games. (English) Zbl 1537.60107 Ann. Appl. Probab. 34, No. 1A, 103-147 (2024). MSC: 60J60 60J65 60G40 34C29 PDFBibTeX XMLCite \textit{Y. Kifer}, Ann. Appl. Probab. 34, No. 1A, 103--147 (2024; Zbl 1537.60107) Full Text: DOI arXiv Link
Correa, José; Cristi, Andrés; Epstein, Boris; Soto, José A. Sample-driven optimal stopping: from the secretary problem to the i.i.d. prophet inequality. (English) Zbl 07812930 Math. Oper. Res. 49, No. 1, 441-475 (2024). MSC: 90C30 90C15 90C59 60G40 PDFBibTeX XMLCite \textit{J. Correa} et al., Math. Oper. Res. 49, No. 1, 441--475 (2024; Zbl 07812930) Full Text: DOI arXiv
Bednarz, Ewelina; Ernst, Philip A.; Osękowski, Adam On the diameter of the stopped spider process. (English) Zbl 1532.60079 Math. Oper. Res. 49, No. 1, 346-365 (2024). MSC: 60G40 91B70 60G44 PDFBibTeX XMLCite \textit{E. Bednarz} et al., Math. Oper. Res. 49, No. 1, 346--365 (2024; Zbl 1532.60079) Full Text: DOI arXiv
Ivanovs, Jevgenijs; Yamazaki, Kazutoshi A series expansion formula of the scale matrix with applications in CUSUM analysis. (English) Zbl 1532.60094 Stochastic Processes Appl. 170, Article ID 104300, 20 p. (2024). MSC: 60G51 60G40 62M05 PDFBibTeX XMLCite \textit{J. Ivanovs} and \textit{K. Yamazaki}, Stochastic Processes Appl. 170, Article ID 104300, 20 p. (2024; Zbl 1532.60094) Full Text: DOI arXiv OA License
Pourbashash, Hosein; Khaksar-e Oshagh, Mahmood; Asadollahi, Somayyeh An efficient adaptive wavelet method for pricing time-fractional American option variational inequality. (English) Zbl 1533.91497 Comput. Methods Differ. Equ. 12, No. 1, 173-188 (2024). MSC: 91G60 65T60 35R11 35R35 91G20 60G40 PDFBibTeX XMLCite \textit{H. Pourbashash} et al., Comput. Methods Differ. Equ. 12, No. 1, 173--188 (2024; Zbl 1533.91497) Full Text: DOI
Ekström, Erik; Mellquist, Ebba Monotonicity of implied volatility for perpetual put options. (English) Zbl 1534.91159 J. Appl. Probab. 61, No. 1, 301-310 (2024). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{E. Mellquist}, J. Appl. Probab. 61, No. 1, 301--310 (2024; Zbl 1534.91159) Full Text: DOI
Klump, Alexander; Kolb, Martin An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion. (English) Zbl 1533.60133 J. Appl. Probab. 61, No. 1, 279-300 (2024). Reviewer: Liping Li (Beijing) MSC: 60J65 60G40 60E15 PDFBibTeX XMLCite \textit{A. Klump} and \textit{M. Kolb}, J. Appl. Probab. 61, No. 1, 279--300 (2024; Zbl 1533.60133) Full Text: DOI
Lin, Yi-Shen A note on one-sided solutions for optimal stopping problems driven by Lévy processes. (English) Zbl 1532.60082 Stat. Probab. Lett. 206, Article ID 109989, 9 p. (2024). MSC: 60G40 62L15 60J10 60J65 PDFBibTeX XMLCite \textit{Y.-S. Lin}, Stat. Probab. Lett. 206, Article ID 109989, 9 p. (2024; Zbl 1532.60082) Full Text: DOI
Ding, Guodong; Marazzina, Daniele Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework. (English) Zbl 07803461 Comput. Appl. Math. 43, No. 1, Paper No. 53, 23 p. (2024). MSC: 91G15 60G40 93E20 PDFBibTeX XMLCite \textit{G. Ding} and \textit{D. Marazzina}, Comput. Appl. Math. 43, No. 1, Paper No. 53, 23 p. (2024; Zbl 07803461) Full Text: DOI OA License
Çetiṅ, Umut Minimal subharmonic functions and related integral representations. (English) Zbl 1531.60051 Electron. J. Probab. 29, Paper No. 3, 35 p. (2024). MSC: 60J60 60J55 60G40 PDFBibTeX XMLCite \textit{U. Çetiṅ}, Electron. J. Probab. 29, Paper No. 3, 35 p. (2024; Zbl 1531.60051) Full Text: DOI arXiv
Pchelintsev, Evgenii A.; Pergamenchtchikov, Serguei M.; Tenzin, Roman O. Truncated sequential change-point detection for Markov chains with applications in the epidemic statistical analysis. (English) Zbl 07798884 Sequential Anal. 43, No. 1, 57-78 (2024). MSC: 62L10 62L15 60G40 60J05 60J20 PDFBibTeX XMLCite \textit{E. A. Pchelintsev} et al., Sequential Anal. 43, No. 1, 57--78 (2024; Zbl 07798884) Full Text: DOI
Lange, Rutger-Jan; Teulings, Coen N. Irreversible investment under predictable growth: why land stays vacant when housing demand is booming. (English) Zbl 1539.91138 J. Econ. Theory 215, Article ID 105776, 19 p. (2024). Reviewer: Matthias M. M. Buehlmaier (Hong Kong) MSC: 91G50 60G40 91D10 PDFBibTeX XMLCite \textit{R.-J. Lange} and \textit{C. N. Teulings}, J. Econ. Theory 215, Article ID 105776, 19 p. (2024; Zbl 1539.91138) Full Text: DOI OA License
Al-Hadad, Jonas; Palmowski, Zbigniew Perpetual American options with asset-dependent discounting. (English) Zbl 1531.91248 Appl. Math. Optim. 89, No. 1, Paper No. 18, 35 p. (2024). MSC: 91G20 60G40 60G51 PDFBibTeX XMLCite \textit{J. Al-Hadad} and \textit{Z. Palmowski}, Appl. Math. Optim. 89, No. 1, Paper No. 18, 35 p. (2024; Zbl 1531.91248) Full Text: DOI arXiv OA License
De Angelis, Tiziano; Ekström, Erik; Olofsson, Marcus The maximality principle in singular control with absorption and its applications to the dividend problem. (English) Zbl 1531.91268 SIAM J. Control Optim. 62, No. 1, 91-117 (2024). MSC: 91G50 93E20 60G40 35R35 PDFBibTeX XMLCite \textit{T. De Angelis} et al., SIAM J. Control Optim. 62, No. 1, 91--117 (2024; Zbl 1531.91268) Full Text: DOI arXiv
Gu, Haoran; Xia, Yunni; Xie, Hong; Shi, Xiaoyu; Shang, Mingsheng Robust and efficient algorithms for conversational contextual bandit. (English) Zbl 07791125 Inf. Sci. 657, Article ID 119993, 17 p. (2024). MSC: 68T35 60G40 62L15 90-XX PDFBibTeX XMLCite \textit{H. Gu} et al., Inf. Sci. 657, Article ID 119993, 17 p. (2024; Zbl 07791125) Full Text: DOI
Li, Qi; Ahn, Seryoong; Yoon, Ji-Hun Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio. (English) Zbl 1531.91228 Japan J. Ind. Appl. Math. 41, No. 1, 421-446 (2024). MSC: 91G10 60G40 49L20 91B42 PDFBibTeX XMLCite \textit{Q. Li} et al., Japan J. Ind. Appl. Math. 41, No. 1, 421--446 (2024; Zbl 1531.91228) Full Text: DOI
Aïdékon, Elie; Hu, Yueyun; Shi, Zhan An infinite-dimensional representation of the Ray-Knight theorems. (English) Zbl 1530.60071 Sci. China, Math. 67, No. 1, 149-162 (2024). MSC: 60J65 60J55 60G40 60J80 PDFBibTeX XMLCite \textit{E. Aïdékon} et al., Sci. China, Math. 67, No. 1, 149--162 (2024; Zbl 1530.60071) Full Text: DOI arXiv HAL
Chen, Pengzhan; Song, Yingda A general approximation method for optimal stopping and random delay. (English) Zbl 1530.91619 Math. Finance 34, No. 1, 5-35 (2024). MSC: 91G80 60G40 60J28 PDFBibTeX XMLCite \textit{P. Chen} and \textit{Y. Song}, Math. Finance 34, No. 1, 5--35 (2024; Zbl 1530.91619) Full Text: DOI
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas Supermartingale shadow couplings: the decreasing case. (English) Zbl 1539.60045 Bernoulli 30, No. 1, 143-169 (2024). Reviewer: Ferenc Weisz (Budapest) MSC: 60G42 60G44 91G20 60G40 49Q20 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Bernoulli 30, No. 1, 143--169 (2024; Zbl 1539.60045) Full Text: DOI arXiv
Chaves, Isaías N.; Ichihashi, Shota Auction timing and market thickness. (English) Zbl 1530.91212 Games Econ. Behav. 143, 161-178 (2024). MSC: 91B26 60G40 PDFBibTeX XMLCite \textit{I. N. Chaves} and \textit{S. Ichihashi}, Games Econ. Behav. 143, 161--178 (2024; Zbl 1530.91212) Full Text: DOI
Lempa, Jukka; Mordecki, Ernesto; Salminen, Paavo Diffusion spiders: Green kernel, excessive functions and optimal stopping. (English) Zbl 1535.60132 Stochastic Processes Appl. 167, Article ID 104229, 34 p. (2024). Reviewer: Manuel D. Domínguez de la Iglesia (Ciudad de México) MSC: 60J60 60J35 60J65 60G40 PDFBibTeX XMLCite \textit{J. Lempa} et al., Stochastic Processes Appl. 167, Article ID 104229, 34 p. (2024; Zbl 1535.60132) Full Text: DOI arXiv
Karimi, Nader; Salavati, Erfan; Assa, Hirbod; Adibi, Hojatollah A stochastic optimal stopping model for storable commodity prices. (English) Zbl 1525.60050 Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024). MSC: 60G40 91G05 91B24 62P20 PDFBibTeX XMLCite \textit{N. Karimi} et al., Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024; Zbl 1525.60050) Full Text: DOI
Huang, Cunxin; Song, Haiming; Yang, Jinda; Zhou, Bocheng Error analysis of finite difference scheme for American option pricing under regime-switching with jumps. (English) Zbl 1528.91078 J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{C. Huang} et al., J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024; Zbl 1528.91078) Full Text: DOI
Bollman, Mark Basic gambling mathematics. The numbers behind the neon. 2nd edition. (English) Zbl 1529.91001 AK Peters/CRC Recreational Mathematics Series. Boca Raton, FL: CRC Press/A K Peters (ISBN 978-1-032-41461-4/hbk; 978-1-032-41460-7/pbk; 978-1-003-35818-3/ebook). xi, 310 p. (2024). MSC: 91-01 91A60 60-01 60C05 60G40 00A06 00A09 PDFBibTeX XMLCite \textit{M. Bollman}, Basic gambling mathematics. The numbers behind the neon. 2nd edition. Boca Raton, FL: CRC Press/A K Peters (2024; Zbl 1529.91001) Full Text: DOI
Bovo, Andrea; De Angelis, Tiziano Finite-time horizon, stopper vs. singular-controller games on the half-line. arXiv:2409.06049 Preprint, arXiv:2409.06049 [math.OC] (2024). MSC: 91A05 91A15 60G40 93E20 49J40 BibTeX Cite \textit{A. Bovo} and \textit{T. De Angelis}, ``Finite-time horizon, stopper vs. singular-controller games on the half-line'', Preprint, arXiv:2409.06049 [math.OC] (2024) Full Text: arXiv OA License
Finch, Steven A Deceptively Simple Quadratic Recurrence. arXiv:2409.03510 Preprint, arXiv:2409.03510 [math.NT] (2024). MSC: 39A20 05C05 05C30 11B37 60G40 62L15 BibTeX Cite \textit{S. Finch}, ``A Deceptively Simple Quadratic Recurrence'', Preprint, arXiv:2409.03510 [math.NT] (2024) Full Text: arXiv OA License
Berger, Quentin; Béthencourt, Loïc; Tardif, Camille On joint returns to zero of Bessel processes. arXiv:2406.19344 Preprint, arXiv:2406.19344 [math.PR] (2024). MSC: 60G40 60H30 BibTeX Cite \textit{Q. Berger} et al., ``On joint returns to zero of Bessel processes'', Preprint, arXiv:2406.19344 [math.PR] (2024) Full Text: arXiv OA License
Derbazi, Zakaria An Optimal Selection Problem Associated with the Poisson Process. arXiv:2406.15616 Preprint, arXiv:2406.15616 [math.PR] (2024). MSC: 60G40 33C15 BibTeX Cite \textit{Z. Derbazi}, ``An Optimal Selection Problem Associated with the Poisson Process'', Preprint, arXiv:2406.15616 [math.PR] (2024) Full Text: arXiv OA License
Christensen, Sören; Schultz, Boy On the existence of Markovian randomized equilibria in Dynkin games of war-of-attrition-type. arXiv:2406.09820 Preprint, arXiv:2406.09820 [math.PR] (2024). MSC: 91A55 60G40 91A15 BibTeX Cite \textit{S. Christensen} and \textit{B. Schultz}, ``On the existence of Markovian randomized equilibria in Dynkin games of war-of-attrition-type'', Preprint, arXiv:2406.09820 [math.PR] (2024) Full Text: arXiv OA License
Derbazi, Zakaria Sum the Probabilities to \(m\) and Stop. arXiv:2406.07283 Preprint, arXiv:2406.07283 [math.PR] (2024). MSC: 60G40 BibTeX Cite \textit{Z. Derbazi}, ``Sum the Probabilities to $m$ and Stop'', Preprint, arXiv:2406.07283 [math.PR] (2024) Full Text: arXiv OA License
Grunspan, Cyril; Perez-Marco, Ricardo Three variations of Heads or Tails Game for Bitcoin. arXiv:2405.04168 Preprint, arXiv:2405.04168 [cs.CR] (2024). MSC: 68M01 60G40 91A60 BibTeX Cite \textit{C. Grunspan} and \textit{R. Perez-Marco}, ``Three variations of Heads or Tails Game for Bitcoin'', Preprint, arXiv:2405.04168 [cs.CR] (2024) Full Text: arXiv OA License
Ernst, Philip A.; Peskir, Goran The Gapeev-Shiryaev Conjecture. arXiv:2405.01685 Preprint, arXiv:2405.01685 [math.PR] (2024). MSC: 60G40 60J60 60H20 35H10 35K65 62C10 BibTeX Cite \textit{P. A. Ernst} and \textit{G. Peskir}, ``The Gapeev-Shiryaev Conjecture'', Preprint, arXiv:2405.01685 [math.PR] (2024) Full Text: arXiv OA License
Alfonsi, Aurélien; Kebaier, Ahmed; Lelong, Jérôme A pure dual approach for hedging Bermudan options. arXiv:2404.18761 Preprint, arXiv:2404.18761 [q-fin.MF] (2024). MSC: 62L15 60G40 91G20 65C05 BibTeX Cite \textit{A. Alfonsi} et al., ``A pure dual approach for hedging Bermudan options'', Preprint, arXiv:2404.18761 [q-fin.MF] (2024) Full Text: arXiv OA License
Christensen, Sören; Hallmann, Oskar; Klein, Maike On first passage time problems of Brownian motion – The inverse method of images revisited. arXiv:2404.16615 Preprint, arXiv:2404.16615 [math.PR] (2024). MSC: 90C05 60G40 60J65 BibTeX Cite \textit{S. Christensen} et al., ``On first passage time problems of Brownian motion -- The inverse method of images revisited'', Preprint, arXiv:2404.16615 [math.PR] (2024) Full Text: arXiv OA License
Campbell, Steven; Zhang, Yuchong A Mean Field Game of Sequential Testing. arXiv:2403.18297 Preprint, arXiv:2403.18297 [math.OC] (2024). MSC: 91A16 91A55 60G35 60G40 BibTeX Cite \textit{S. Campbell} and \textit{Y. Zhang}, ``A Mean Field Game of Sequential Testing'', Preprint, arXiv:2403.18297 [math.OC] (2024) Full Text: arXiv OA License
Vysotsky, Vladislav Stationary switching random walks. arXiv:2403.04620 Preprint, arXiv:2403.04620 [math.PR] (2024). MSC: 60J10 60G51 60G10 37A50 60G40 BibTeX Cite \textit{V. Vysotsky}, ``Stationary switching random walks'', Preprint, arXiv:2403.04620 [math.PR] (2024) Full Text: arXiv OA License
Mijatovic, Aleksandar; Vysotsky, Vladislav Stationary entrance chains and applications to random walks. arXiv:2403.00619 Preprint, arXiv:2403.00619 [math.PR] (2024). MSC: 60J10 60G50 37A50 60J55 60G10 60G40 60F05 28D05 BibTeX Cite \textit{A. Mijatovic} and \textit{V. Vysotsky}, ``Stationary entrance chains and applications to random walks'', Preprint, arXiv:2403.00619 [math.PR] (2024) Full Text: arXiv OA License
Perninge, Magnus Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs. arXiv:2402.17541 Preprint, arXiv:2402.17541 [math.PR] (2024). MSC: 49J40 60G40 BibTeX Cite \textit{M. Perninge}, ``Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs'', Preprint, arXiv:2402.17541 [math.PR] (2024) Full Text: arXiv OA License
Gao, Zhongqin; Zhou, Xiaowen; Lv, Yan An Optimal Dividend Problem for Skew Brownian Motion with Two-Valued Drift. arXiv:2402.11471 Preprint, arXiv:2402.11471 [math.PR] (2024). MSC: 60G40 60J80 93E20 BibTeX Cite \textit{Z. Gao} et al., ``An Optimal Dividend Problem for Skew Brownian Motion with Two-Valued Drift'', Preprint, arXiv:2402.11471 [math.PR] (2024) Full Text: arXiv OA License
Bovo, Andrea; De Angelis, Tiziano On the saddle point of a zero-sum stopper vs. singular-controller game. arXiv:2401.17719 Preprint, arXiv:2401.17719 [math.OC] (2024). MSC: 91A05 91A15 60G40 93E20 49J40 35R35 60J60 60J55 BibTeX Cite \textit{A. Bovo} and \textit{T. De Angelis}, ``On the saddle point of a zero-sum stopper vs. singular-controller game'', Preprint, arXiv:2401.17719 [math.OC] (2024) Full Text: arXiv OA License
Liang, Vincent; Borovkov, Konstantin On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary. arXiv:2401.16787 Preprint, arXiv:2401.16787 [math.PR] (2024). MSC: 60J60 60G40 60G46 BibTeX Cite \textit{V. Liang} and \textit{K. Borovkov}, ``On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary'', Preprint, arXiv:2401.16787 [math.PR] (2024) Full Text: arXiv OA License
Kharroubi, Idris; Ocello, Antonio Optimal Stopping of Branching Diffusion Processes. arXiv:2401.12811 Preprint, arXiv:2401.12811 [math.PR] (2024). MSC: 60G40 60J80 35J60 49L20 49L25 BibTeX Cite \textit{I. Kharroubi} and \textit{A. Ocello}, ``Optimal Stopping of Branching Diffusion Processes'', Preprint, arXiv:2401.12811 [math.PR] (2024) Full Text: arXiv OA License
Beneš, Václav E.; Gaitsgori, Georgy; Karatzas, Ioannis Drift Control with Discretionary Stopping for a Diffusion Process. arXiv:2401.10043 Preprint, arXiv:2401.10043 [math.OC] (2024). MSC: 93E20 60G40 60J60 BibTeX Cite \textit{V. E. Beneš} et al., ``Drift Control with Discretionary Stopping for a Diffusion Process'', Preprint, arXiv:2401.10043 [math.OC] (2024) Full Text: arXiv OA License
Denisov, Denis; Tarasov, Alexander; Wachtel, Vitali Expansions for random walks conditioned to stay positive. arXiv:2401.09929 Preprint, arXiv:2401.09929 [math.PR] (2024). MSC: 60G50 60G40 60F17 BibTeX Cite \textit{D. Denisov} et al., ``Expansions for random walks conditioned to stay positive'', Preprint, arXiv:2401.09929 [math.PR] (2024) Full Text: arXiv OA License
Sakhanenko, Alexander Ivanovich On first-passage times for symmetric random walks without Lindeberg condition. (Russian. English summary) Zbl 07896757 Sib. Èlektron. Mat. Izv. 20, No. 1, 86-99 (2023). MSC: 60G50 60G40 PDFBibTeX XMLCite \textit{A. I. Sakhanenko}, Sib. Èlektron. Mat. Izv. 20, No. 1, 86--99 (2023; Zbl 07896757) Full Text: DOI MNR