Oufdil, Khalid Stochastic zero-sum differential games and backward stochastic differential equations. (English) Zbl 07664772 Random Oper. Stoch. Equ. 31, No. 1, 65-86 (2023). MSC: 35R60 60G40 62P20 60G99 PDF BibTeX XML Cite \textit{K. Oufdil}, Random Oper. Stoch. Equ. 31, No. 1, 65--86 (2023; Zbl 07664772) Full Text: DOI OpenURL
Kim, Mun-Chol; O, Hun; Hwang, Ho-Jin Optimal stopping under \(g\)-expectation with \(L \exp \left(\mu\sqrt{2\log(1+L)}\right)\)-integrable reward process. (English) Zbl 07661248 J. Appl. Probab. 60, No. 1, 241-252 (2023). MSC: 60H10 60H30 60G40 PDF BibTeX XML Cite \textit{M.-C. Kim} et al., J. Appl. Probab. 60, No. 1, 241--252 (2023; Zbl 07661248) Full Text: DOI OpenURL
Gnedin, Alexander; Kozieł, Patryk; Sulkowska, Małgorzata Running minimum in the best-choice problem. (English) Zbl 07658863 Extremes 26, No. 1, 157-182 (2023). MSC: 60G40 60G55 PDF BibTeX XML Cite \textit{A. Gnedin} et al., Extremes 26, No. 1, 157--182 (2023; Zbl 07658863) Full Text: DOI arXiv OpenURL
Steg, Jan-Henrik; Thijssen, Jacco J. J. Strategic investment with positive externalities. (English) Zbl 07656637 Games Econ. Behav. 138, 1-21 (2023). MSC: 91G50 91A55 60G40 PDF BibTeX XML Cite \textit{J.-H. Steg} and \textit{J. J. J. Thijssen}, Games Econ. Behav. 138, 1--21 (2023; Zbl 07656637) Full Text: DOI OpenURL
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. (English) Zbl 07654076 Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 107042, 13 p. (2023). MSC: 91G20 60G22 60G40 PDF BibTeX XML Cite \textit{M. Costabile} et al., Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 107042, 13 p. (2023; Zbl 07654076) Full Text: DOI OpenURL
Gong, Wenxiu; Xu, Zuoliang Reconstruction of local volatility surface from American options. (English) Zbl 07650730 J. Inverse Ill-Posed Probl. 31, No. 1, 91-102 (2023). MSC: 91G60 65M32 65D07 65M06 49M41 91G20 60G40 35Q91 PDF BibTeX XML Cite \textit{W. Gong} and \textit{Z. Xu}, J. Inverse Ill-Posed Probl. 31, No. 1, 91--102 (2023; Zbl 07650730) Full Text: DOI OpenURL
Liu, Yue; Zhang, Jijian; Ding, Xuhui; Zhang, Xiling Intervene in advance or passively? Analysis and application on congestion control of smart grid. (English) Zbl 07645012 Ann. Oper. Res. 320, No. 2, 887-899 (2023). MSC: 60J10 60G40 90B06 49K45 PDF BibTeX XML Cite \textit{Y. Liu} et al., Ann. Oper. Res. 320, No. 2, 887--899 (2023; Zbl 07645012) Full Text: DOI OpenURL
Rapoport, Amnon; Seale, Darryl A.; Spiliopoulos, Leonidas Progressive stopping heuristics that excel in individual and competitive sequential search. (English) Zbl 07640086 Theory Decis. 94, No. 1, 135-165 (2023). MSC: 91B06 60G40 91-08 PDF BibTeX XML Cite \textit{A. Rapoport} et al., Theory Decis. 94, No. 1, 135--165 (2023; Zbl 07640086) Full Text: DOI OpenURL
Tse, Alex S. L.; Zheng, Harry Speculative trading, prospect theory and transaction costs. (English) Zbl 07637398 Finance Stoch. 27, No. 1, 49-96 (2023). MSC: 91G15 60G40 91B16 PDF BibTeX XML Cite \textit{A. S. L. Tse} and \textit{H. Zheng}, Finance Stoch. 27, No. 1, 49--96 (2023; Zbl 07637398) Full Text: DOI arXiv OpenURL
Kubicka, Ewa M.; Kubicki, Grzegorz; Kuchta, Małgorzata; Morayne, Michał Secretary problem with hidden information; searching for a high merit candidate. (English) Zbl 07637360 Adv. Appl. Math. 144, Article ID 102468, 35 p. (2023). MSC: 60G40 90C27 PDF BibTeX XML Cite \textit{E. M. Kubicka} et al., Adv. Appl. Math. 144, Article ID 102468, 35 p. (2023; Zbl 07637360) Full Text: DOI OpenURL
Han, Yuecai; Li, Nan A new deep neural network algorithm for multiple stopping with applications in options pricing. (English) Zbl 07634534 Commun. Nonlinear Sci. Numer. Simul. 117, Article ID 106881, 9 p. (2023). MSC: 91G20 60G40 68T07 PDF BibTeX XML Cite \textit{Y. Han} and \textit{N. Li}, Commun. Nonlinear Sci. Numer. Simul. 117, Article ID 106881, 9 p. (2023; Zbl 07634534) Full Text: DOI OpenURL
Bayón, L.; Fortuny Ayuso, P.; Grau, J. M.; Oller-Marcén, A. M.; Ruiz, M. M. A new method for computing asymptotic results in optimal stopping problems. (English) Zbl 1499.60127 Bull. Malays. Math. Sci. Soc. (2) 46, No. 1, Paper No. 46, 37 p. (2023). MSC: 60G40 62L15 PDF BibTeX XML Cite \textit{L. Bayón} et al., Bull. Malays. Math. Sci. Soc. (2) 46, No. 1, Paper No. 46, 37 p. (2023; Zbl 1499.60127) Full Text: DOI arXiv OpenURL
Marzougue, Mohamed Non-linear Dynkin games over split stopping times. (English) Zbl 1499.60132 Stat. Probab. Lett. 193, Article ID 109721, 7 p. (2023). MSC: 60G40 91A15 60H10 PDF BibTeX XML Cite \textit{M. Marzougue}, Stat. Probab. Lett. 193, Article ID 109721, 7 p. (2023; Zbl 1499.60132) Full Text: DOI OpenURL
Dai, Suhang; Menoukeu-Pamen, Olivier An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems. (English) Zbl 1498.60160 J. Comput. Appl. Math. 421, Article ID 114864, 24 p. (2023). MSC: 60G40 65C20 60J25 47D07 60J35 PDF BibTeX XML Cite \textit{S. Dai} and \textit{O. Menoukeu-Pamen}, J. Comput. Appl. Math. 421, Article ID 114864, 24 p. (2023; Zbl 1498.60160) Full Text: DOI OpenURL
Biancardi, Marta; Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni Flexibility to switch project size: a real option application for photovoltaic investment valuation. (English) Zbl 1501.91175 Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106869, 14 p. (2023). MSC: 91G50 60G40 PDF BibTeX XML Cite \textit{M. Biancardi} et al., Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106869, 14 p. (2023; Zbl 1501.91175) Full Text: DOI OpenURL
Villarroel, Javier; Vega, Juan A. Escape probabilities from an interval for compound Poisson processes with drift. (English) Zbl 1497.60063 Balakrishnan, Narayanaswamy (ed.) et al., Trends in mathematical, information and data sciences. A tribute to Leandro Pardo. Based on the presentations at the symposium on information theory with applications to statistical inference, Madrid, Spain, December 2, 2019. Cham: Springer. Stud. Syst. Decis. Control 445, 93-105 (2023). MSC: 60G40 60G44 60J76 PDF BibTeX XML Cite \textit{J. Villarroel} and \textit{J. A. Vega}, Stud. Syst. Decis. Control 445, 93--105 (2023; Zbl 1497.60063) Full Text: DOI OpenURL
Gómez-Corral, Antonio; Lopez-Herrero, María Jesús; Rodríguez-Bernal, María Teresa On first passage times in discrete skeletons and uniformized versions of a continuous-time Markov chain. (English) Zbl 1497.60103 Balakrishnan, Narayanaswamy (ed.) et al., Trends in mathematical, information and data sciences. A tribute to Leandro Pardo. Based on the presentations at the symposium on information theory with applications to statistical inference, Madrid, Spain, December 2, 2019. Cham: Springer. Stud. Syst. Decis. Control 445, 29-37 (2023). MSC: 60J27 60J10 60G40 92D30 PDF BibTeX XML Cite \textit{A. Gómez-Corral} et al., Stud. Syst. Decis. Control 445, 29--37 (2023; Zbl 1497.60103) Full Text: DOI OpenURL
Redmann, Martin Solving high-dimensional optimal stopping problems using optimization based model order reduction. (English) Zbl 07657803 Appl. Math. Finance 29, No. 2, 110-140 (2022). MSC: 91G20 60G40 60G51 93B11 PDF BibTeX XML Cite \textit{M. Redmann}, Appl. Math. Finance 29, No. 2, 110--140 (2022; Zbl 07657803) Full Text: DOI arXiv OpenURL
Heidari, Saghar; Azari, Hossein Pricing perpetual American options under regime switching jump diffusion models. (English) Zbl 07656355 JAMM, J. Adv. Math. Model. 12, No. 4, 477-493 (2022). MSC: 91G20 60G40 45K05 PDF BibTeX XML Cite \textit{S. Heidari} and \textit{H. Azari}, JAMM, J. Adv. Math. Model. 12, No. 4, 477--493 (2022; Zbl 07656355) Full Text: DOI OpenURL
Strietzel, Philipp Lukas; Behme, Anita Moments of the ruin time in a Lévy risk model. (English) Zbl 07655083 Methodol. Comput. Appl. Probab. 24, No. 4, 3075-3099 (2022). MSC: 91G05 60G51 60G40 PDF BibTeX XML Cite \textit{P. L. Strietzel} and \textit{A. Behme}, Methodol. Comput. Appl. Probab. 24, No. 4, 3075--3099 (2022; Zbl 07655083) Full Text: DOI arXiv OpenURL
Rosenstrom, Erik; Meshkinfam, Sareh; Ivy, Julie Simmons; Goodarzi, Shadi Hassani; Capan, Muge; Huddleston, Jeanne; Romero-Brufau, Santiago Optimizing the first response to sepsis: an electronic health record-based Markov decision process model. (English) Zbl 07646914 Decis. Anal. 19, No. 4, 265-296 (2022). MSC: 90B50 90C40 60G40 PDF BibTeX XML Cite \textit{E. Rosenstrom} et al., Decis. Anal. 19, No. 4, 265--296 (2022; Zbl 07646914) Full Text: DOI OpenURL
Crocce, Fabián; Mordecki, Ernesto An algorithm to solve optimal stopping problems for one-dimensional diffusions. (English) Zbl 1502.60054 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1353-1375 (2022). MSC: 60G40 60J40 PDF BibTeX XML Cite \textit{F. Crocce} and \textit{E. Mordecki}, ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1353--1375 (2022; Zbl 1502.60054) Full Text: arXiv Link OpenURL
Szajowski, Krzysztof J. Sequential selections with minimization of failure. (English) Zbl 07638939 J. Math. Psychol. 111, Article ID 102723, 9 p. (2022). MSC: 91B06 60G40 PDF BibTeX XML Cite \textit{K. J. Szajowski}, J. Math. Psychol. 111, Article ID 102723, 9 p. (2022; Zbl 07638939) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou Short communication: stability of time-inconsistent stopping for one-dimensional diffusions. (English) Zbl 07638214 SIAM J. Financ. Math. 13, No. 4, SC123-SC135 (2022). MSC: 60G40 49J45 49K40 91A11 91A15 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 13, No. 4, SC123-SC135 (2022; Zbl 07638214) Full Text: DOI arXiv OpenURL
Novikov, Andrey; Farkhshatov, Fahil Design and performance evaluation in Kiefer-Weiss problems when sampling from discrete exponential families. (English) Zbl 07634009 Sequential Anal. 41, No. 4, 417-434 (2022). MSC: 62L10 62L15 62F03 60G40 62M02 PDF BibTeX XML Cite \textit{A. Novikov} and \textit{F. Farkhshatov}, Sequential Anal. 41, No. 4, 417--434 (2022; Zbl 07634009) Full Text: DOI OpenURL
Hussain, Abid; Cheema, Salman A. The symmetric \(4\)-player gambler’s problem with unequal initial stakes. (English) Zbl 1499.60130 Math. Slovaca 72, No. 6, 1641-1646 (2022). MSC: 60G40 PDF BibTeX XML Cite \textit{A. Hussain} and \textit{S. A. Cheema}, Math. Slovaca 72, No. 6, 1641--1646 (2022; Zbl 1499.60130) Full Text: DOI OpenURL
Louriki, Mohammed Brownian bridge with random length and pinning point for modelling of financial information. (English) Zbl 1502.60045 Stochastics 94, No. 7, 973-1002 (2022). MSC: 60G15 60G40 60J25 60F99 PDF BibTeX XML Cite \textit{M. Louriki}, Stochastics 94, No. 7, 973--1002 (2022; Zbl 1502.60045) Full Text: DOI arXiv OpenURL
Denisov, Denis; Hinrichs, Günter; Kolb, Martin; Wachtel, Vitali Persistence of autoregressive sequences with logarithmic tails. (English) Zbl 07628814 Electron. J. Probab. 27, Paper No. 154, 43 p. (2022). MSC: 60G50 60G40 60F17 PDF BibTeX XML Cite \textit{D. Denisov} et al., Electron. J. Probab. 27, Paper No. 154, 43 p. (2022; Zbl 07628814) Full Text: DOI arXiv OpenURL
Liu, Hui Li; Zhou, Xiao Wen Generalized stepping stone model with \(\Xi\)-resampling mechanism. (English) Zbl 1499.60305 Acta Math. Sin., Engl. Ser. 38, No. 11, 1998-2018 (2022). MSC: 60J90 60G40 60J25 60J35 PDF BibTeX XML Cite \textit{H. L. Liu} and \textit{X. W. Zhou}, Acta Math. Sin., Engl. Ser. 38, No. 11, 1998--2018 (2022; Zbl 1499.60305) Full Text: DOI arXiv OpenURL
Hassairi, Imen \(\mathbb{D}\)-solutions of BSDEs with Poisson jumps. (English) Zbl 1499.60188 J. Korean Math. Soc. 59, No. 6, 1083-1101 (2022). MSC: 60H10 60G40 60H30 PDF BibTeX XML Cite \textit{I. Hassairi}, J. Korean Math. Soc. 59, No. 6, 1083--1101 (2022; Zbl 1499.60188) Full Text: DOI arXiv OpenURL
Ma, Jingtang; Cui, Zhenyu; Li, Wenyuan Laplace bounds approximation for American options. (English) Zbl 07621893 Probab. Eng. Inf. Sci. 36, No. 2, 514-547 (2022). MSC: 91G20 60G40 44A10 PDF BibTeX XML Cite \textit{J. Ma} et al., Probab. Eng. Inf. Sci. 36, No. 2, 514--547 (2022; Zbl 07621893) Full Text: DOI OpenURL
Basnet, Amod J.; Sonin, Isaac M. Parallel computing for Markov chains with islands and ports. (English) Zbl 1501.60041 Ann. Oper. Res. 317, No. 2, 335-352 (2022). MSC: 60J22 60G40 65C40 PDF BibTeX XML Cite \textit{A. J. Basnet} and \textit{I. M. Sonin}, Ann. Oper. Res. 317, No. 2, 335--352 (2022; Zbl 1501.60041) Full Text: DOI OpenURL
Deschatre, Thomas; Mikael, Joseph Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. (English) Zbl 07613654 MathS In Action 11, 243-258 (2022). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 60G40 90C27 91G20 PDF BibTeX XML Cite \textit{T. Deschatre} and \textit{J. Mikael}, MathS In Action 11, 243--258 (2022; Zbl 07613654) Full Text: DOI arXiv OpenURL
Becker, Simon; Richter, Lorenz Model order reduction for (stochastic-) delay equations with error bounds. (English) Zbl 07613239 J. Comput. Dyn. 9, No. 4, 575-600 (2022). MSC: 60G40 60G51 65C30 91G60 PDF BibTeX XML Cite \textit{S. Becker} and \textit{L. Richter}, J. Comput. Dyn. 9, No. 4, 575--600 (2022; Zbl 07613239) Full Text: DOI arXiv OpenURL
Campi, Luciano; De Angelis, Tiziano; Ghio, Maddalena; Livieri, Giulia Mean-field games of finite-fuel capacity expansion with singular controls. (English) Zbl 1501.35402 Ann. Appl. Probab. 32, No. 5, 3674-3717 (2022). MSC: 35Q89 35R35 60G40 91A15 91A16 93E20 PDF BibTeX XML Cite \textit{L. Campi} et al., Ann. Appl. Probab. 32, No. 5, 3674--3717 (2022; Zbl 1501.35402) Full Text: DOI arXiv OpenURL
Wang, Weiwei; Hu, Xiaoping Pricing American options by a Fourier transform multinomial tree in a conic market. (English) Zbl 1499.91178 Discrete Dyn. Nat. Soc. 2022, Article ID 8650500, 10 p. (2022). MSC: 91G60 91G20 60G40 60G51 PDF BibTeX XML Cite \textit{W. Wang} and \textit{X. Hu}, Discrete Dyn. Nat. Soc. 2022, Article ID 8650500, 10 p. (2022; Zbl 1499.91178) Full Text: DOI OpenURL
Ernst, Philip A.; Peskir, Goran Quickest real-time detection of a Brownian coordinate drift. (English) Zbl 1499.60129 Ann. Appl. Probab. 32, No. 4, 2652-2670 (2022). MSC: 60G40 60J65 60H30 35J15 45G10 62C10 PDF BibTeX XML Cite \textit{P. A. Ernst} and \textit{G. Peskir}, Ann. Appl. Probab. 32, No. 4, 2652--2670 (2022; Zbl 1499.60129) Full Text: DOI arXiv OpenURL
Brown, Marlo Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables. (English) Zbl 07596760 Sequential Anal. 41, No. 3, 310-324 (2022). MSC: 62L15 60G40 PDF BibTeX XML Cite \textit{M. Brown}, Sequential Anal. 41, No. 3, 310--324 (2022; Zbl 07596760) Full Text: DOI OpenURL
Mahmoudi, Eisa; Nemati, Zahra; Khalifeh, Ashkan Bounded risk per unit cost index constraint for sequential estimation of the mean in a two-parameter exponential distribution. (English) Zbl 07596759 Sequential Anal. 41, No. 3, 285-309 (2022). MSC: 62L15 60G40 62F12 60K10 PDF BibTeX XML Cite \textit{E. Mahmoudi} et al., Sequential Anal. 41, No. 3, 285--309 (2022; Zbl 07596759) Full Text: DOI OpenURL
Gittenberger, Bernhard; Gołębiewski, Zbigniew; Larcher, Isabella; Sulkowska, Małgorzata Counting embeddings of rooted trees into families of rooted trees. (English) Zbl 1498.05134 Electron. J. Comb. 29, No. 3, Research Paper P3.52, 34 p. (2022). MSC: 05C30 05C60 05C05 05A15 05A16 60G40 06A07 PDF BibTeX XML Cite \textit{B. Gittenberger} et al., Electron. J. Comb. 29, No. 3, Research Paper P3.52, 34 p. (2022; Zbl 1498.05134) Full Text: DOI arXiv OpenURL
Berger, D.; Kühn, F.; Schilling, R. L. Lévy processes, generalized moments and uniform integrability. (English) Zbl 07596639 Probab. Math. Stat. 42, No. 1, 109-131 (2022). MSC: 60G51 60G44 60G40 26A12 26B35 PDF BibTeX XML Cite \textit{D. Berger} et al., Probab. Math. Stat. 42, No. 1, 109--131 (2022; Zbl 07596639) Full Text: DOI arXiv OpenURL
Samuel, Sharoy Augustine; Popier, Alexandre; Sezer, Ali Devin Continuity problem for singular BSDE with random terminal time. (English) Zbl 1500.35173 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1185-1220 (2022). MSC: 35J75 60G40 60G99 60H30 60H99 PDF BibTeX XML Cite \textit{S. A. Samuel} et al., ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1185--1220 (2022; Zbl 1500.35173) Full Text: arXiv Link OpenURL
Klimsiak, Tomasz; Rozkosz, Andrzej Long-time asymptotic behaviour of the value function in nonlinear stopping problems. (English) Zbl 07596554 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1133-1160 (2022). MSC: 60G40 60H10 91G20 PDF BibTeX XML Cite \textit{T. Klimsiak} and \textit{A. Rozkosz}, ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1133--1160 (2022; Zbl 07596554) Full Text: arXiv Link OpenURL
Goard, Joanna An analytical approximation for convertible bonds. (English) Zbl 1496.91083 ANZIAM J. 64, No. 2, 135-148 (2022). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{J. Goard}, ANZIAM J. 64, No. 2, 135--148 (2022; Zbl 1496.91083) Full Text: DOI OpenURL
Gilat, David; Meilijson, Isaac; Sacerdote, Laura A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales. (English) Zbl 07594405 J. Theor. Probab. 35, No. 3, 1952-1955 (2022). MSC: 60G44 60G40 PDF BibTeX XML Cite \textit{D. Gilat} et al., J. Theor. Probab. 35, No. 3, 1952--1955 (2022; Zbl 07594405) Full Text: DOI OpenURL
Colaneri, Katia; De Angelis, Tiziano A class of recursive optimal stopping problems with applications to stock trading. (English) Zbl 07592360 Math. Oper. Res. 47, No. 3, 1833-1861 (2022). MSC: 60G40 91G80 PDF BibTeX XML Cite \textit{K. Colaneri} and \textit{T. De Angelis}, Math. Oper. Res. 47, No. 3, 1833--1861 (2022; Zbl 07592360) Full Text: DOI arXiv OpenURL
Chen, Kexin; Jeon, Junkee; Wong, Hoi Ying Optimal retirement under partial information. (English) Zbl 07592359 Math. Oper. Res. 47, No. 3, 1802-1832 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 93E20 49K10 PDF BibTeX XML Cite \textit{K. Chen} et al., Math. Oper. Res. 47, No. 3, 1802--1832 (2022; Zbl 07592359) Full Text: DOI OpenURL
Kühn, Christoph; Molitor, Alexander Semimartingale price systems in models with transaction costs beyond efficient friction. (English) Zbl 1498.91422 Finance Stoch. 26, No. 4, 927-982 (2022). MSC: 91G15 60H05 26A42 60G40 PDF BibTeX XML Cite \textit{C. Kühn} and \textit{A. Molitor}, Finance Stoch. 26, No. 4, 927--982 (2022; Zbl 1498.91422) Full Text: DOI arXiv OpenURL
Gapeev, Pavel V.; Al Motairi, Hessah Discounted optimal stopping problems in first-passage time models with random thresholds. (English) Zbl 07589155 J. Appl. Probab. 59, No. 3, 714-733 (2022). MSC: 60G40 60G44 60J65 91B25 60J60 35R35 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{H. Al Motairi}, J. Appl. Probab. 59, No. 3, 714--733 (2022; Zbl 07589155) Full Text: DOI OpenURL
González Casanova, Adrián; Peñaloza, Lizbeth; Siri-Jégousse, Arno The shape of a seed bank tree. (English) Zbl 1497.60123 J. Appl. Probab. 59, No. 3, 631-651 (2022). MSC: 60J95 60C05 60J28 92D25 60G40 PDF BibTeX XML Cite \textit{A. González Casanova} et al., J. Appl. Probab. 59, No. 3, 631--651 (2022; Zbl 1497.60123) Full Text: DOI arXiv OpenURL
Borzykh, Dmitriy; Gushchin, Alexander On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions. (English) Zbl 07587584 Mod. Stoch., Theory Appl. 9, No. 3, 265-277 (2022). MSC: 60G44 60G40 62G32 PDF BibTeX XML Cite \textit{D. Borzykh} and \textit{A. Gushchin}, Mod. Stoch., Theory Appl. 9, No. 3, 265--277 (2022; Zbl 07587584) Full Text: DOI OpenURL
Källblad, Sigrid A dynamic programming approach to distribution-constrained optimal stopping. (English) Zbl 07581743 Ann. Appl. Probab. 32, No. 3, 1902-1928 (2022). MSC: 60G40 49L20 58E25 60G57 62L15 93E20 PDF BibTeX XML Cite \textit{S. Källblad}, Ann. Appl. Probab. 32, No. 3, 1902--1928 (2022; Zbl 07581743) Full Text: DOI OpenURL
De Angelis, Tiziano; Merkulov, Nikita; Palczewski, Jan On the value of non-Markovian Dynkin games with partial and asymmetric information. (English) Zbl 1498.91082 Ann. Appl. Probab. 32, No. 3, 1774-1813 (2022). MSC: 91A27 91A55 91A15 60G40 PDF BibTeX XML Cite \textit{T. De Angelis} et al., Ann. Appl. Probab. 32, No. 3, 1774--1813 (2022; Zbl 1498.91082) Full Text: DOI arXiv OpenURL
Zhang, Aili Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process. (English) Zbl 1502.60066 Bull. Iran. Math. Soc. 48, No. 4, 1895-1917 (2022). MSC: 60G51 91G10 60G40 PDF BibTeX XML Cite \textit{A. Zhang}, Bull. Iran. Math. Soc. 48, No. 4, 1895--1917 (2022; Zbl 1502.60066) Full Text: DOI OpenURL
Kharrat, Mohamed; Bastin, Fabian Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing. (English) Zbl 1498.91446 Turk. J. Math. 46, No. 1, 71-86 (2022). MSC: 91G20 60G40 60H07 PDF BibTeX XML Cite \textit{M. Kharrat} and \textit{F. Bastin}, Turk. J. Math. 46, No. 1, 71--86 (2022; Zbl 1498.91446) Full Text: DOI OpenURL
El Asri, Brahim; Hamadene, Said; Oufdil, Khalid On the stochastic control-stopping problem. (English) Zbl 1498.93777 J. Differ. Equations 336, 387-426 (2022). MSC: 93E20 60G40 60H30 49L25 PDF BibTeX XML Cite \textit{B. El Asri} et al., J. Differ. Equations 336, 387--426 (2022; Zbl 1498.93777) Full Text: DOI arXiv OpenURL
Itkin, Andrey; Lipton, Alexander; Muravey, Dmitry Multilayer heat equations: application to finance. (English) Zbl 1498.91496 Front. Math. Finance 1, No. 1, 99-135 (2022). MSC: 91G60 65M99 91G20 60G40 35K05 PDF BibTeX XML Cite \textit{A. Itkin} et al., Front. Math. Finance 1, No. 1, 99--135 (2022; Zbl 1498.91496) Full Text: DOI arXiv OpenURL
Buonaguidi, B. The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria. (English) Zbl 1498.60158 Stat. Probab. Lett. 189, Article ID 109548, 8 p. (2022). MSC: 60G40 60J60 62C10 62L15 PDF BibTeX XML Cite \textit{B. Buonaguidi}, Stat. Probab. Lett. 189, Article ID 109548, 8 p. (2022; Zbl 1498.60158) Full Text: DOI OpenURL
Foss, Sergey; Prasolov, Timofei Moments of the first descending epoch for a random walk with negative drift. (English) Zbl 1498.60167 Stat. Probab. Lett. 189, Article ID 109547, 5 p. (2022). MSC: 60G50 60G40 60K25 PDF BibTeX XML Cite \textit{S. Foss} and \textit{T. Prasolov}, Stat. Probab. Lett. 189, Article ID 109547, 5 p. (2022; Zbl 1498.60167) Full Text: DOI arXiv OpenURL
Chen, Xinfu; Chadam, John; Saunders, David Higher-order regularity of the free boundary in the inverse first-passage problem. (English) Zbl 1496.35459 SIAM J. Math. Anal. 54, No. 4, 4695-4720 (2022). MSC: 35R35 35B65 60G40 60J60 35K85 PDF BibTeX XML Cite \textit{X. Chen} et al., SIAM J. Math. Anal. 54, No. 4, 4695--4720 (2022; Zbl 1496.35459) Full Text: DOI arXiv OpenURL
El Jamali, Mohamed; El Otmani, Mohamed Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier. (English) Zbl 1502.60092 J. Integral Equations Appl. 34, No. 2, 201-214 (2022). MSC: 60H10 60G51 91G20 60G40 PDF BibTeX XML Cite \textit{M. El Jamali} and \textit{M. El Otmani}, J. Integral Equations Appl. 34, No. 2, 201--214 (2022; Zbl 1502.60092) Full Text: DOI OpenURL
Bayón, L.; Fortuny Ayuso, P.; Grau, J. M.; Oller-Marcén, A. M.; Ruiz, M. M. The multi-returning secretary problem. (English) Zbl 07574703 Discrete Appl. Math. 320, 33-46 (2022). MSC: 91A55 60G40 90C27 90C39 PDF BibTeX XML Cite \textit{L. Bayón} et al., Discrete Appl. Math. 320, 33--46 (2022; Zbl 07574703) Full Text: DOI arXiv OpenURL
Bouhadou, Siham; Hilbert, Astrid; Ouknine, Youssef RBSDEs with optional barriers: monotone approximation. (English) Zbl 1498.60200 Probab. Uncertain. Quant. Risk 7, No. 2, 67-84 (2022). MSC: 60H10 60G40 PDF BibTeX XML Cite \textit{S. Bouhadou} et al., Probab. Uncertain. Quant. Risk 7, No. 2, 67--84 (2022; Zbl 1498.60200) Full Text: DOI OpenURL
Gapeev, Pavel V.; Li, Libo Perpetual American standard and lookback options with event risk and asymmetric information. (English) Zbl 07574017 SIAM J. Financ. Math. 13, No. 3, 773-801 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 91G20 60G40 35R35 60J60 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{L. Li}, SIAM J. Financ. Math. 13, No. 3, 773--801 (2022; Zbl 07574017) Full Text: DOI OpenURL
Battauz, Anna; De Donno, Marzia; Gajda, Janusz; Sbuelz, Alessandro Optimal exercise of American put options near maturity: a new economic perspective. (English) Zbl 1495.91119 Rev. Deriv. Res. 25, No. 1, 23-46 (2022). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{A. Battauz} et al., Rev. Deriv. Res. 25, No. 1, 23--46 (2022; Zbl 1495.91119) Full Text: DOI OpenURL
Ma, Jingtang; Xing, Jie; Yang, Shan Dual control methods for a mixed control problem with optimal stopping arising in optimal consumption and investment. (English) Zbl 07568037 Numer. Math., Theory Methods Appl. 15, No. 3, 641-661 (2022). MSC: 49M25 91B70 65C05 60G40 91B42 PDF BibTeX XML Cite \textit{J. Ma} et al., Numer. Math., Theory Methods Appl. 15, No. 3, 641--661 (2022; Zbl 07568037) Full Text: DOI OpenURL
Ekström, Erik; Wang, Yuqiong Multi-dimensional sequential testing and detection. (English) Zbl 1492.60102 Stochastics 94, No. 5, 789-806 (2022). MSC: 60G40 62L10 62L15 PDF BibTeX XML Cite \textit{E. Ekström} and \textit{Y. Wang}, Stochastics 94, No. 5, 789--806 (2022; Zbl 1492.60102) Full Text: DOI arXiv OpenURL
Rozkosz, Andrzej On perpetual American options in a multidimensional Black-Scholes model. (English) Zbl 1492.91386 Stochastics 94, No. 5, 723-744 (2022). MSC: 91G20 60G40 60H10 60H30 PDF BibTeX XML Cite \textit{A. Rozkosz}, Stochastics 94, No. 5, 723--744 (2022; Zbl 1492.91386) Full Text: DOI arXiv OpenURL
Golchi, Shirin Estimating design operating characteristics in Bayesian adaptive clinical trials. (English. French summary) Zbl 1492.62170 Can. J. Stat. 50, No. 2, 417-436 (2022). MSC: 62P10 62C10 62F03 62F15 62G07 62L15 62M30 PDF BibTeX XML Cite \textit{S. Golchi}, Can. J. Stat. 50, No. 2, 417--436 (2022; Zbl 1492.62170) Full Text: DOI arXiv OpenURL
Cao, Fujun; Yuan, Dongfang; Sheng, Zhiqiang; Yuan, Guangwei; He, Limin A finite difference method for elliptic problems with implicit jump condition. (English) Zbl 07565080 Int. J. Numer. Anal. Model. 19, No. 4, 439-457 (2022). MSC: 35R35 49J40 60G40 PDF BibTeX XML Cite \textit{F. Cao} et al., Int. J. Numer. Anal. Model. 19, No. 4, 439--457 (2022; Zbl 07565080) Full Text: Link OpenURL
Dassios, Angelos; Zhang, Junyi First hitting time of Brownian motion on simple graph with skew semiaxes. (English) Zbl 07565031 Methodol. Comput. Appl. Probab. 24, No. 3, 1805-1831 (2022). Reviewer: Manuel D. Domínguez de la Iglesia (Ciudad de México) MSC: 60J65 60G40 60J70 PDF BibTeX XML Cite \textit{A. Dassios} and \textit{J. Zhang}, Methodol. Comput. Appl. Probab. 24, No. 3, 1805--1831 (2022; Zbl 07565031) Full Text: DOI OpenURL
Nunes, Cláudia; Pimentel, Rita; Prior, Ana The solution to a differential-difference equation arising in optimal stopping of a jump-diffusion process. (English) Zbl 1502.37101 REVSTAT 20, No. 1, 85-100 (2022). MSC: 37N35 37H10 60G40 60J65 PDF BibTeX XML Cite \textit{C. Nunes} et al., REVSTAT 20, No. 1, 85--100 (2022; Zbl 1502.37101) Full Text: DOI OpenURL
Stettner, Lukasz On an approximation of average cost per unit time impulse control of Markov processes. (English) Zbl 1497.93103 SIAM J. Control Optim. 60, No. 4, 2115-2131 (2022). MSC: 93C27 93E20 93C10 60G40 PDF BibTeX XML Cite \textit{L. Stettner}, SIAM J. Control Optim. 60, No. 4, 2115--2131 (2022; Zbl 1497.93103) Full Text: DOI arXiv OpenURL
Novikov, A.; Popoca-Jiménez, X. I. Optimal group sequential tests with groups of random size. (English) Zbl 1493.62485 Sequential Anal. 41, No. 2, 220-240 (2022). MSC: 62L10 62L15 62F03 60G40 PDF BibTeX XML Cite \textit{A. Novikov} and \textit{X. I. Popoca-Jiménez}, Sequential Anal. 41, No. 2, 220--240 (2022; Zbl 1493.62485) Full Text: DOI arXiv OpenURL
Novikov, Andrey; Novikov, Andrei; Farkhshatov, Fahil A computational approach to the Kiefer-Weiss problem for sampling from a Bernoulli population. (English) Zbl 1493.62484 Sequential Anal. 41, No. 2, 198-219 (2022). MSC: 62L10 62L15 62F03 60G40 62M02 PDF BibTeX XML Cite \textit{A. Novikov} et al., Sequential Anal. 41, No. 2, 198--219 (2022; Zbl 1493.62484) Full Text: DOI arXiv OpenURL
Chen, Fang; Guo, Xianping; Liao, Zhong-Wei Optimal stopping time on semi-Markov processes with finite horizon. (English) Zbl 1491.60055 J. Optim. Theory Appl. 194, No. 2, 408-439 (2022). MSC: 60G40 60K15 90C40 PDF BibTeX XML Cite \textit{F. Chen} et al., J. Optim. Theory Appl. 194, No. 2, 408--439 (2022; Zbl 1491.60055) Full Text: DOI arXiv OpenURL
Pinsky, Ross G. The secretary problem with biased arrival order via a Mallows distribution. (English) Zbl 1492.60103 Adv. Appl. Math. 140, Article ID 102386, 9 p. (2022). MSC: 60G40 60C05 PDF BibTeX XML Cite \textit{R. G. Pinsky}, Adv. Appl. Math. 140, Article ID 102386, 9 p. (2022; Zbl 1492.60103) Full Text: DOI arXiv OpenURL
Pornsawad, Pornsarp; Böckmann, Christine; Panitsupakamon, Wannapa The Levenberg-Marquardt regularization for the backward heat equation with fractional derivative. (English) Zbl 07556373 ETNA, Electron. Trans. Numer. Anal. 57, 67-79 (2022). MSC: 47A52 26A33 65R30 65M30 PDF BibTeX XML Cite \textit{P. Pornsawad} et al., ETNA, Electron. Trans. Numer. Anal. 57, 67--79 (2022; Zbl 07556373) Full Text: DOI Link OpenURL
Mohamed, Kharrat Analytical solution of American cull option under fractional Black and Scholes model. (English) Zbl 1496.91089 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 29, No. 2, 143-148 (2022). MSC: 91G20 60G40 35R11 PDF BibTeX XML Cite \textit{K. Mohamed}, Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 29, No. 2, 143--148 (2022; Zbl 1496.91089) Full Text: Link Link OpenURL
Feldman, Moran; Svensson, Ola; Zenklusen, Rico A framework for the secretary problem on the intersection of matroids. (English) Zbl 1497.68610 SIAM J. Comput. 51, No. 3, 766-819 (2022). MSC: 68W40 05B35 60G40 62L15 68W27 PDF BibTeX XML Cite \textit{M. Feldman} et al., SIAM J. Comput. 51, No. 3, 766--819 (2022; Zbl 1497.68610) Full Text: DOI OpenURL
Christensen, Sören; Fischer, Simon On the \(\frac{S_n}{n}\) problem. (English) Zbl 1496.60036 J. Appl. Probab. 59, No. 2, 571-583 (2022). MSC: 60G40 60G50 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{S. Fischer}, J. Appl. Probab. 59, No. 2, 571--583 (2022; Zbl 1496.60036) Full Text: DOI arXiv OpenURL
Gapeev, Pavel V. Discounted optimal stopping problems in continuous hidden Markov models. (English) Zbl 07554288 Stochastics 94, No. 3, 335-364 (2022). Reviewer: Yana Kinderknecht (Saarbrücken) MSC: 60G40 91G20 60J22 PDF BibTeX XML Cite \textit{P. V. Gapeev}, Stochastics 94, No. 3, 335--364 (2022; Zbl 07554288) Full Text: DOI OpenURL
Hamadène, Said; Jasso-Fuentes, Héctor; Osorio-Agudelo, Yamid A. On a switching control problem with càdlàg costs. (English) Zbl 1496.60038 Stochastics 94, No. 1, 51-85 (2022). MSC: 60G40 62P20 91G50 93E20 PDF BibTeX XML Cite \textit{S. Hamadène} et al., Stochastics 94, No. 1, 51--85 (2022; Zbl 1496.60038) Full Text: DOI arXiv OpenURL
Zhang, Haoyan; Tian, Yingxu Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing. (English) Zbl 1496.60099 Methodol. Comput. Appl. Probab. 24, No. 2, 1237-1251 (2022). MSC: 60J60 60J65 60G40 PDF BibTeX XML Cite \textit{H. Zhang} and \textit{Y. Tian}, Methodol. Comput. Appl. Probab. 24, No. 2, 1237--1251 (2022; Zbl 1496.60099) Full Text: DOI OpenURL
Huang, Xuan; Zhou, Jieming General draw-down times for refracted spectrally negative Lévy processes. (English) Zbl 1489.91067 Methodol. Comput. Appl. Probab. 24, No. 2, 875-891 (2022). MSC: 91B05 60G40 60G51 60J25 PDF BibTeX XML Cite \textit{X. Huang} and \textit{J. Zhou}, Methodol. Comput. Appl. Probab. 24, No. 2, 875--891 (2022; Zbl 1489.91067) Full Text: DOI OpenURL
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.; Thijssen, Jacco J. J. Optimal double stopping problems for maxima and minima of geometric Brownian motions. (English) Zbl 1490.60097 Methodol. Comput. Appl. Probab. 24, No. 2, 789-813 (2022). MSC: 60G40 91G20 60J70 PDF BibTeX XML Cite \textit{P. V. Gapeev} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 789--813 (2022; Zbl 1490.60097) Full Text: DOI OpenURL
Gapeev, Pavel V. Perpetual American double lookback options on drawdowns and drawups with floating strikes. (English) Zbl 1489.91259 Methodol. Comput. Appl. Probab. 24, No. 2, 749-788 (2022). MSC: 91G20 60J60 91B70 60G40 PDF BibTeX XML Cite \textit{P. V. Gapeev}, Methodol. Comput. Appl. Probab. 24, No. 2, 749--788 (2022; Zbl 1489.91259) Full Text: DOI OpenURL
Lv, Siyu; Wu, Zhen; Zhang, Qing The Dynkin game with regime switching and applications to pricing game options. (English) Zbl 1494.91031 Ann. Oper. Res. 313, No. 2, 1159-1182 (2022). MSC: 91A55 60G40 PDF BibTeX XML Cite \textit{S. Lv} et al., Ann. Oper. Res. 313, No. 2, 1159--1182 (2022; Zbl 1494.91031) Full Text: DOI OpenURL
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker Solving optimal stopping problems under model uncertainty via empirical dual optimisation. (English) Zbl 1494.91153 Finance Stoch. 26, No. 3, 461-503 (2022). MSC: 91G20 60G40 90C46 PDF BibTeX XML Cite \textit{D. Belomestny} et al., Finance Stoch. 26, No. 3, 461--503 (2022; Zbl 1494.91153) Full Text: DOI OpenURL
Kharrat, Mohamed Pricing European and American options under fractional model. (English) Zbl 1492.91377 Palest. J. Math. 11, Spec. Iss. II, 63-73 (2022). MSC: 91G20 60G40 35R11 91G60 PDF BibTeX XML Cite \textit{M. Kharrat}, Palest. J. Math. 11, 63--73 (2022; Zbl 1492.91377) Full Text: Link OpenURL
Boubaker, Sabri; Liu, Zhenya; Zhan, Yaosong Risk management for crude oil futures: an optimal stopping-timing approach. (English) Zbl 1490.91209 Ann. Oper. Res. 313, No. 1, 9-27 (2022). MSC: 91G20 60G40 91G10 PDF BibTeX XML Cite \textit{S. Boubaker} et al., Ann. Oper. Res. 313, No. 1, 9--27 (2022; Zbl 1490.91209) Full Text: DOI OpenURL
Zhang, Tao; Zhu, Quanyan On incentive compatibility in dynamic mechanism design with exit option in a Markovian environment. (English) Zbl 1494.91034 Dyn. Games Appl. 12, No. 2, 701-745 (2022). MSC: 91B03 91B43 60G40 PDF BibTeX XML Cite \textit{T. Zhang} and \textit{Q. Zhu}, Dyn. Games Appl. 12, No. 2, 701--745 (2022; Zbl 1494.91034) Full Text: DOI arXiv OpenURL
Peköz, Erol A.; Ross, Sheldon M. Fair gambler’s ruin stochastically maximizes playing time. (English) Zbl 1490.60110 Adv. Appl. Probab. 54, No. 2, 656-659 (2022). MSC: 60G50 60G40 PDF BibTeX XML Cite \textit{E. A. Peköz} and \textit{S. M. Ross}, Adv. Appl. Probab. 54, No. 2, 656--659 (2022; Zbl 1490.60110) Full Text: DOI OpenURL
Martyr, Randall; Moriarty, John; Perninge, Magnus Discrete-time risk-aware optimal switching with non-adapted costs. (English) Zbl 1494.93144 Adv. Appl. Probab. 54, No. 2, 625-655 (2022). MSC: 93E20 93C55 60G40 49N30 PDF BibTeX XML Cite \textit{R. Martyr} et al., Adv. Appl. Probab. 54, No. 2, 625--655 (2022; Zbl 1494.93144) Full Text: DOI arXiv OpenURL
Girardin, Valérie; Konev, Victor; Pergamenchtchikov, Serguei Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty. (English) Zbl 1493.62483 Sequential Anal. 41, No. 1, 119-141 (2022). MSC: 62L10 62L15 60G40 62B10 60J20 PDF BibTeX XML Cite \textit{V. Girardin} et al., Sequential Anal. 41, No. 1, 119--141 (2022; Zbl 1493.62483) Full Text: DOI OpenURL
Cao, Shuchen; Zhang, Ruizhi; Zou, Shaofeng Adversarially robust sequential hypothesis testing. (English) Zbl 1493.62480 Sequential Anal. 41, No. 1, 81-103 (2022). MSC: 62L10 62L15 60G40 91A10 PDF BibTeX XML Cite \textit{S. Cao} et al., Sequential Anal. 41, No. 1, 81--103 (2022; Zbl 1493.62480) Full Text: DOI OpenURL
Wu, Jun; Li, Pei; Zhang, Jia; Chen, Zehao; Bao, Jianrong SPRT-based cooperative spectrum sensing with performance requirements in cognitive unmanned aerial vehicle networks (CUAVNs). (English) Zbl 1493.62493 Sequential Anal. 41, No. 1, 53-67 (2022). MSC: 62L15 60G40 62F12 62F15 PDF BibTeX XML Cite \textit{J. Wu} et al., Sequential Anal. 41, No. 1, 53--67 (2022; Zbl 1493.62493) Full Text: DOI OpenURL
Christensen, Sören; Sohr, Tobias General optimal stopping with linear cost. (English) Zbl 1495.60030 Sequential Anal. 41, No. 1, 35-52 (2022). MSC: 60G40 62L15 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{T. Sohr}, Sequential Anal. 41, No. 1, 35--52 (2022; Zbl 1495.60030) Full Text: DOI arXiv OpenURL
Zhang, Ruizhi; Mei, Yajun; Shi, Jianjun Robust change detection for large-scale data streams. (English) Zbl 1493.62494 Sequential Anal. 41, No. 1, 1-19 (2022). MSC: 62L15 60G40 PDF BibTeX XML Cite \textit{R. Zhang} et al., Sequential Anal. 41, No. 1, 1--19 (2022; Zbl 1493.62494) Full Text: DOI arXiv OpenURL
Correa, José; Dütting, Paul; Fischer, Felix; Schewior, Kevin Prophet inequalities for independent and identically distributed random variables from an unknown distribution. (English) Zbl 1493.62492 Math. Oper. Res. 47, No. 2, 1287-1309 (2022). MSC: 62L15 60G40 68W27 91B26 PDF BibTeX XML Cite \textit{J. Correa} et al., Math. Oper. Res. 47, No. 2, 1287--1309 (2022; Zbl 1493.62492) Full Text: DOI OpenURL