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清華大學統計學研究所
國立清華大學統計學研究所
2017-03-31(五),主講人:姚怡慶 教授 (中央研究院 統計學研究所)

清華大學、交通大學

統 計 學 研 究 所

專 題 演 講

 


講 題: One-sided Solutions for Optimal Stopping problems with Logconcave Reward Functions
演講者: 姚怡慶教授 (中央研究院 統計學研究所)
時 間: 106年03月31日(星期五)10:40 - 12:00noon  (10:20 - 10:40am 茶會於統計所821室舉行)
地 點: 綜合三館837室
摘 要:

In the literature, the problem of maximizing the expected discounted reward over all stopping rules has been explicitly solved for a number of reward functions when the underlying process is either a random walk in discrete time or a Levy process in continuous time. All of such reward functions are increasing and logconcave while the corresponding optimal stopping rules have the threshold form (i.e. the solutions are one-sided). In this talk, I will first review the relevant literature and then show that all optimal stopping problems with increasing and logconcave reward functions admit one-sided solutions for general random walks in discrete time and Levy processes in continuous time. (This talk is based on joint work with Yi-Shen Lin.)

 

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