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Game theory, optimal stopping, probability and statistics : papers in honor of Thomas S. Ferguson
| Game theory, optimal stopping, probability and statistics : papers in honor of Thomas S. Ferguson |
| Pubbl/distr/stampa | [Place of publication not identified], : Institute of Mathematical Statistics, 2000 |
| Disciplina | 519.3 |
| Collana | Lecture notes-monograph series Game theory, optimal stopping, probability and statistics |
| Soggetto topico |
Game theory
Optimal stopping (Mathematical statistics) Mathematical statistics Mathematics Physical Sciences & Mathematics Algebra |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996210822803316 |
| [Place of publication not identified], : Institute of Mathematical Statistics, 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Game theory, optimal stopping, probability and statistics : papers in honor of Thomas S. Ferguson
| Game theory, optimal stopping, probability and statistics : papers in honor of Thomas S. Ferguson |
| Pubbl/distr/stampa | [Place of publication not identified], : Institute of Mathematical Statistics, 2000 |
| Disciplina | 519.3 |
| Collana | Lecture notes-monograph series Game theory, optimal stopping, probability and statistics |
| Soggetto topico |
Game theory
Optimal stopping (Mathematical statistics) Mathematical statistics Mathematics Physical Sciences & Mathematics Algebra |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910482888103321 |
| [Place of publication not identified], : Institute of Mathematical Statistics, 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Optimal stochastic control, stochastic target problems, and backward SDE / / Nizar Touzi ; with chapter 13 by Agnes Tourin
| Optimal stochastic control, stochastic target problems, and backward SDE / / Nizar Touzi ; with chapter 13 by Agnes Tourin |
| Autore | Touzi Nizar |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2012 |
| Descrizione fisica | 1 online resource (218 p.) |
| Disciplina | 629.8312 |
| Altri autori (Persone) | TourinAgnes |
| Collana | Fields institute monographs |
| Soggetto topico |
Stochastic control theory
Optimal stopping (Mathematical statistics) Stochastic differential equations |
| ISBN |
1-283-64027-9
1-4614-4286-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- 1. Conditional Expectation and Linear Parabolic PDEs -- 2. Stochastic Control and Dynamic Programming -- 3. Optimal Stopping and Dynamic Programming -- 4. Solving Control Problems by Verification -- 5. Introduction to Viscosity Solutions -- 6. Dynamic Programming Equation in the Viscosity Sense -- 7. Stochastic Target Problems -- 8. Second Order Stochastic Target Problems -- 9. Backward SDEs and Stochastic Control -- 10. Quadratic Backward SDEs -- 11. Probabilistic Numerical Methods for Nonlinear PDEs -- 12. Introduction to Finite Differences Methods -- References. |
| Record Nr. | UNINA-9910438156803321 |
Touzi Nizar
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| New York, : Springer, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Optimal stopping and free boundary problems / Goran Peskir, Albert Shiryaev
| Optimal stopping and free boundary problems / Goran Peskir, Albert Shiryaev |
| Autore | Peskir, Goran |
| Pubbl/distr/stampa | Basel ; Boston ; Berlin : Birkhäuser Verlag, c2006 |
| Descrizione fisica | xxii, 500 p. : ill. ; 24 cm |
| Disciplina | 519.5 |
| Altri autori (Persone) | Shiryaev, Albert Nikolaevich |
| Collana | Lectures in mathematics ETH Zurich |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Boundary value problems Nonlinear integral equations Economics, Mathematical |
| ISBN |
3764324198
3764373903 (e-ISBN) |
| Classificazione |
60G40
AMS 60-99 LC QA279.7.P47 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001855769707536 |
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Peskir, Goran
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| Basel ; Boston ; Berlin : Birkhäuser Verlag, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Optimal stopping rules [[electronic resource] /] / A.N. Shiryaev ; translated by A.B. Aries
| Optimal stopping rules [[electronic resource] /] / A.N. Shiryaev ; translated by A.B. Aries |
| Autore | Shiri͡aev Alʹbert Nikolaevich |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | Berlin ; ; New York, : Springer, c2008 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 519.5/4 |
| Altri autori (Persone) | AriesA. B |
| Collana | Applications of mathematics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Sequential analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-11631-9
9786611116316 3-540-74011-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Random Processes: Markov Times -- Optimal Stopping of Markov Sequences -- Optimal Stopping of Markov Processes -- Some Applications to Problems of Mathematical Statistics. |
| Record Nr. | UNINA-9910451024403321 |
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Shiri͡aev Alʹbert Nikolaevich
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| Berlin ; ; New York, : Springer, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Optimal stopping rules [[electronic resource] /] / A.N. Shiryaev ; translated by A.B. Aries
| Optimal stopping rules [[electronic resource] /] / A.N. Shiryaev ; translated by A.B. Aries |
| Autore | Shiri͡aev Alʹbert Nikolaevich |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | Berlin ; ; New York, : Springer, c2008 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 519.5/4 |
| Altri autori (Persone) | AriesA. B |
| Collana | Applications of mathematics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Sequential analysis |
| ISBN |
1-281-11631-9
9786611116316 3-540-74011-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Random Processes: Markov Times -- Optimal Stopping of Markov Sequences -- Optimal Stopping of Markov Processes -- Some Applications to Problems of Mathematical Statistics. |
| Record Nr. | UNINA-9910785087703321 |
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Shiri͡aev Alʹbert Nikolaevich
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| Berlin ; ; New York, : Springer, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang
| Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang |
| Autore | Cairoli R (Renzo), <1931-1994.> |
| Pubbl/distr/stampa | New York, : J. Wiley & Sons, c1996 |
| Descrizione fisica | 1 online resource (348 p.) |
| Disciplina | 519.7 |
| Altri autori (Persone) | DalangRobert C. <1961-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Dynamic programming Stochastic control theory |
| ISBN |
1-283-22799-1
9786613227997 1-118-16439-3 1-118-16440-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Sequential Stochastic Optimization; Contents; Preface; Notation and Conventions; 1. Preliminaries; 1.1 Filtered Probability Spaces; 1.2 Random Variables; 1.3 Stopping Points; 1.4 Increasing Paths and Accessible Stopping Points; 1.5 Some Operations on Accessible Stopping Points; 1.6 Stochastic Processes and Martingales; Exercises; Historical Notes; 2. Sums of Independent Random Variables; 2.1 Maximal Inequalities; 2.2 Integrability Criteria for the Supremum; 2.3 The Strong Law of Large Numbers; 2.4 Case Where the Random Variables Are Identically Distributed; Exercises; Historical Notes
3. Optimal Stopping3.1 Stating the Problem; 3.2 Snell's Envelope; 3.3 Solving the Problem; 3.4 A Related Problem; 3.5 Maximal Accessible Stopping Points; 3.6 Case Where the Index Set is Finite; 3.7 An Application to Normalized Partial Sums; 3.8 Complements; Exercises; Historical Notes; 4. Reduction to a Single Dimension; 4.1 Linear Representation of Accessible Stopping Points; 4.2 Applications; 4.3 Linear Representation in the Setting of Inaccessible Stopping Points; Exercises; Historical Notes; 5. Accessibility and Filtration Structure; 5.1 Conditions for Accessibility 5.2 Consequences for the Structure of the Filtration5.3 The Bidimensional Case; 5.4 Predictability of Optional Increasing Paths; 5.5 The Combinatorial Structure of a Filtration; 5.6 The Combinatorial Structure of a Filtration Satisfying COl; 5.7 Optimal Stopping and Linear Optimization; Exercises; Historical Notes; 6. Sequential Sampling; 6.1 Stating the Problem; 6.2 Constructing the Model; 6.3 The Reward Process and Snell's Envelope; 6.4 Describing the Optimal Strategy; 6.5 The Likelihood-Ratio Test; 6.6 Applications; 6.7 Complement; Exercises; Historical Notes; 7. Optimal Sequential Control 7.1 An Example7.2 Preliminaries; 7.3 Controls; 7.4 Optimization; 7.5 Optimization Over Finite Controls; 7.6 Case Where the Index Set Is Finite; 7.7 Extension to General Index Sets; Exercises; Historical Notes; 8. Multiarmed Bandits; 8.1 Formulating the Problem; 8.2 Index Controls; 8.3 Gittins Indices; 8.4 Characterizing Optimal Controls; 8.5 Examples; Exercises; Historical Notes; 9. The Markovian Case; 9.1 Markov Chains and Superharmonic Functions; 9.2 Optimal Control of a Markov Chain; 9.3 The Special Case of a Random Walk 9.4 Control and Stopping at the Time of First Visit to a Set of States9.5 Markov Structures; Exercises; Historical Notes; 10. Optimal Switching Between Two Random Walks; 10.1 Formulating and Solving the Problem; 10.2 Some Properties of the Solution; 10.3 The Structure of the Solution; 10.4 Constructing the Switching Curves; 10.5 Characterizing the Type of the Solution; 10.6 Determining the Type of the Solution; Exercises; Historical Notes; Bibliography; Index of Notation; Index of Terms |
| Record Nr. | UNINA-9910139611903321 |
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Cairoli R (Renzo), <1931-1994.>
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| New York, : J. Wiley & Sons, c1996 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang
| Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang |
| Autore | Cairoli R (Renzo), <1931-1994.> |
| Pubbl/distr/stampa | New York, : J. Wiley & Sons, c1996 |
| Descrizione fisica | 1 online resource (348 p.) |
| Disciplina | 519.7 |
| Altri autori (Persone) | DalangRobert C. <1961-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Dynamic programming Stochastic control theory |
| ISBN |
1-283-22799-1
9786613227997 1-118-16439-3 1-118-16440-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Sequential Stochastic Optimization; Contents; Preface; Notation and Conventions; 1. Preliminaries; 1.1 Filtered Probability Spaces; 1.2 Random Variables; 1.3 Stopping Points; 1.4 Increasing Paths and Accessible Stopping Points; 1.5 Some Operations on Accessible Stopping Points; 1.6 Stochastic Processes and Martingales; Exercises; Historical Notes; 2. Sums of Independent Random Variables; 2.1 Maximal Inequalities; 2.2 Integrability Criteria for the Supremum; 2.3 The Strong Law of Large Numbers; 2.4 Case Where the Random Variables Are Identically Distributed; Exercises; Historical Notes
3. Optimal Stopping3.1 Stating the Problem; 3.2 Snell's Envelope; 3.3 Solving the Problem; 3.4 A Related Problem; 3.5 Maximal Accessible Stopping Points; 3.6 Case Where the Index Set is Finite; 3.7 An Application to Normalized Partial Sums; 3.8 Complements; Exercises; Historical Notes; 4. Reduction to a Single Dimension; 4.1 Linear Representation of Accessible Stopping Points; 4.2 Applications; 4.3 Linear Representation in the Setting of Inaccessible Stopping Points; Exercises; Historical Notes; 5. Accessibility and Filtration Structure; 5.1 Conditions for Accessibility 5.2 Consequences for the Structure of the Filtration5.3 The Bidimensional Case; 5.4 Predictability of Optional Increasing Paths; 5.5 The Combinatorial Structure of a Filtration; 5.6 The Combinatorial Structure of a Filtration Satisfying COl; 5.7 Optimal Stopping and Linear Optimization; Exercises; Historical Notes; 6. Sequential Sampling; 6.1 Stating the Problem; 6.2 Constructing the Model; 6.3 The Reward Process and Snell's Envelope; 6.4 Describing the Optimal Strategy; 6.5 The Likelihood-Ratio Test; 6.6 Applications; 6.7 Complement; Exercises; Historical Notes; 7. Optimal Sequential Control 7.1 An Example7.2 Preliminaries; 7.3 Controls; 7.4 Optimization; 7.5 Optimization Over Finite Controls; 7.6 Case Where the Index Set Is Finite; 7.7 Extension to General Index Sets; Exercises; Historical Notes; 8. Multiarmed Bandits; 8.1 Formulating the Problem; 8.2 Index Controls; 8.3 Gittins Indices; 8.4 Characterizing Optimal Controls; 8.5 Examples; Exercises; Historical Notes; 9. The Markovian Case; 9.1 Markov Chains and Superharmonic Functions; 9.2 Optimal Control of a Markov Chain; 9.3 The Special Case of a Random Walk 9.4 Control and Stopping at the Time of First Visit to a Set of States9.5 Markov Structures; Exercises; Historical Notes; 10. Optimal Switching Between Two Random Walks; 10.1 Formulating and Solving the Problem; 10.2 Some Properties of the Solution; 10.3 The Structure of the Solution; 10.4 Constructing the Switching Curves; 10.5 Characterizing the Type of the Solution; 10.6 Determining the Type of the Solution; Exercises; Historical Notes; Bibliography; Index of Notation; Index of Terms |
| Record Nr. | UNINA-9910831074003321 |
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Cairoli R (Renzo), <1931-1994.>
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| New York, : J. Wiley & Sons, c1996 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Sequential stochastic optimization / / R. Cairoli, Robert C. Dalang
| Sequential stochastic optimization / / R. Cairoli, Robert C. Dalang |
| Autore | Cairoli R (Renzo), <1931-1994.> |
| Pubbl/distr/stampa | New York, : J. Wiley & Sons, c1996 |
| Descrizione fisica | 1 online resource (348 p.) |
| Disciplina | 519.2 |
| Altri autori (Persone) | DalangRobert C. <1961-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Dynamic programming Stochastic control theory |
| ISBN |
9786613227997
9781283227995 1283227991 9781118164396 1118164393 9781118164402 1118164407 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Sequential Stochastic Optimization; Contents; Preface; Notation and Conventions; 1. Preliminaries; 1.1 Filtered Probability Spaces; 1.2 Random Variables; 1.3 Stopping Points; 1.4 Increasing Paths and Accessible Stopping Points; 1.5 Some Operations on Accessible Stopping Points; 1.6 Stochastic Processes and Martingales; Exercises; Historical Notes; 2. Sums of Independent Random Variables; 2.1 Maximal Inequalities; 2.2 Integrability Criteria for the Supremum; 2.3 The Strong Law of Large Numbers; 2.4 Case Where the Random Variables Are Identically Distributed; Exercises; Historical Notes
3. Optimal Stopping3.1 Stating the Problem; 3.2 Snell's Envelope; 3.3 Solving the Problem; 3.4 A Related Problem; 3.5 Maximal Accessible Stopping Points; 3.6 Case Where the Index Set is Finite; 3.7 An Application to Normalized Partial Sums; 3.8 Complements; Exercises; Historical Notes; 4. Reduction to a Single Dimension; 4.1 Linear Representation of Accessible Stopping Points; 4.2 Applications; 4.3 Linear Representation in the Setting of Inaccessible Stopping Points; Exercises; Historical Notes; 5. Accessibility and Filtration Structure; 5.1 Conditions for Accessibility 5.2 Consequences for the Structure of the Filtration5.3 The Bidimensional Case; 5.4 Predictability of Optional Increasing Paths; 5.5 The Combinatorial Structure of a Filtration; 5.6 The Combinatorial Structure of a Filtration Satisfying COl; 5.7 Optimal Stopping and Linear Optimization; Exercises; Historical Notes; 6. Sequential Sampling; 6.1 Stating the Problem; 6.2 Constructing the Model; 6.3 The Reward Process and Snell's Envelope; 6.4 Describing the Optimal Strategy; 6.5 The Likelihood-Ratio Test; 6.6 Applications; 6.7 Complement; Exercises; Historical Notes; 7. Optimal Sequential Control 7.1 An Example7.2 Preliminaries; 7.3 Controls; 7.4 Optimization; 7.5 Optimization Over Finite Controls; 7.6 Case Where the Index Set Is Finite; 7.7 Extension to General Index Sets; Exercises; Historical Notes; 8. Multiarmed Bandits; 8.1 Formulating the Problem; 8.2 Index Controls; 8.3 Gittins Indices; 8.4 Characterizing Optimal Controls; 8.5 Examples; Exercises; Historical Notes; 9. The Markovian Case; 9.1 Markov Chains and Superharmonic Functions; 9.2 Optimal Control of a Markov Chain; 9.3 The Special Case of a Random Walk 9.4 Control and Stopping at the Time of First Visit to a Set of States9.5 Markov Structures; Exercises; Historical Notes; 10. Optimal Switching Between Two Random Walks; 10.1 Formulating and Solving the Problem; 10.2 Some Properties of the Solution; 10.3 The Structure of the Solution; 10.4 Constructing the Switching Curves; 10.5 Characterizing the Type of the Solution; 10.6 Determining the Type of the Solution; Exercises; Historical Notes; Bibliography; Index of Notation; Index of Terms |
| Record Nr. | UNINA-9911020439303321 |
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Cairoli R (Renzo), <1931-1994.>
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| New York, : J. Wiley & Sons, c1996 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto
| Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto |
| Autore | Morimoto, Hiroaki |
| Pubbl/distr/stampa | Cambridge ; New York : Cambridge University Press, 2010 |
| Descrizione fisica | xiii, 325 p. ; 25 cm |
| Disciplina | 629.8312 |
| Collana | Encyclopedia of mathematics and its applications ; [131] |
| Soggetto topico |
Stochastic control theory
Optimal stopping (Mathematical statistics) Stochastic differential equations |
| ISBN | 9780521195034 |
| Classificazione |
AMS 93E
LC QA402.37.M67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000837909707536 |
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Morimoto, Hiroaki
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| Cambridge ; New York : Cambridge University Press, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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