Problems in Optimal Stopping and Control.

Mathematics;Mathematical Finance;Sequential Analysis;Stochastic Processes;Mathematical Statistics;Probability;Mathematics;Science;Mathematics

Kravitz, Ross DanielNadtochiy, Sergey ;

University of Michigan

关键词: Mathematics;    Mathematical Finance;    Sequential Analysis;    Stochastic Processes;    Mathematical Statistics;    Probability;    Mathematics;    Science;    Mathematics;   

Others  :  https://deepblue.lib.umich.edu/bitstream/handle/2027.42/97789/rkravitz_1.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

In this thesis, we study three separate problems, all of which relate to the optimal stopping and control of stochastic processes.The first problem, from mathematical finance, deals with the stability of exponential utility maximization when market structure is perturbed.The second problem, from mathematical statistics, investigates how one should search through Brownian channels of information to find a channel satisfying a specific statistical hypothesis.The third and last problem is also from mathematical statistics, and investigates how an agent should allocate scarce observation resources in order to detect a disorder time in a channel of statistical information.