Game variant of a problem on optimal stopping
WebTo model such situations, Dynkin (1969) introduced stopping games, as a variation of optimal stopping problems. In Dynkin’s setup, two players observe the realization of a payoff process in discrete time. Once one of the players decides to stop, player 2 pays player 1 the amount indicated by the payoff process. WebNov 1, 2024 · The additional feature is that players other than taking actions also have the option of stopping the game. We show that the game has a value and that it is the unique solution of a set of dynamic programming inequalities with bilateral constrains. The existence of optimal strategies for both players is also established.
Game variant of a problem on optimal stopping
Did you know?
WebDec 23, 2014 · An optimal multiple-stopping problem with a random horizon and a general structure of rewards is considered. The problem can be formulated as follows. A decision maker has commodities of... WebAn algorithm for solving the problem can fail in two ways: stopping early or stopping late. If you pick one too early, you will miss the best; if you stop too late, you hold out for a …
WebNov 25, 2012 · The purpose of this paper is to apply methods previously developed by the author for the optimal stopping problem to a zero sum game where both control … WebTwo game problems are dealt with: G 1 is a problem in which the players are allowed the possibility of not stopping the game, and in the other G 2 they are obliged to stop the observed process at some finite but not preassigned time. The problem G 1 is well known. In the present paper we mainly investigate G 2 as compared with G 1.
Economists have studied a number of optimal stopping problems similar to the 'secretary problem', and typically call this type of analysis 'search theory'. Search theory has especially focused on a worker's search for a high-wage job, or a consumer's search for a low-priced good. See more In mathematics, the theory of optimal stopping or early stopping is concerned with the problem of choosing a time to take a particular action, in order to maximise an expected reward or minimise an expected cost. … See more Let $${\displaystyle Y_{t}}$$ be a Lévy diffusion in $${\displaystyle \mathbb {R} ^{k}}$$ given by the SDE where $${\displaystyle B}$$ is an $${\displaystyle m}$$-dimensional Brownian motion See more • Halting problem • Markov decision process • Optional stopping theorem • Prophet inequality See more Discrete time case Stopping rule problems are associated with two objects: 1. A … See more There are generally two approaches to solving optimal stopping problems. When the underlying process (or the gain process) is described by its unconditional finite-dimensional distributions See more Coin tossing (Example where $${\displaystyle \mathbb {E} (y_{i})}$$ converges) You have a fair coin and are repeatedly tossing it. Each … See more WebA continuous-time version of the multivariate stopping problem is considered. Associated with vector-valued jump stochastic processes, stopping problems with a monotone logical rule are defined under the notion of the Nash equilibrium point. The existence of an equilibrium strategy and its characterization by integral equations are obtained. …
Webdetection problems formulated a priori as nonstandard stopping problems. 3. Before going to the results of the general theory for standard problems, let us consider the procedures of reduction of the nonstandard problems to the standard ones. Assume Gt(ω) is (t,ω)-measurable positive (or bounded) functions, t ≥ 0, ω ∈ Ω.
Weba sequence of games. Such problems are of interest in statistics, where the experimenter must constantly ask whether the increase in information con-tained in further data will outweigh the cost of collecting it. Optimal stopping theory provides a general mathematical framework in which such problems can be precisely formulated and in some ... shoot-and-scootWebtematic study of mean field games (MFG) of optimal stopping or impulse controls. We solve here a system of forward-backward obstacle problems which models MFG of … shoot-a-way basketballWebThe secretary problem demonstrates a scenario involving optimal stopping theory that is studied extensively in the fields of applied probability, statistics, and decision theory. It is … shoot-a-wayWebA continuous time version of the multi-variate stopping problem is considered. Associated with vector valued jump stochastic processes, stopping problems with a monotone logical rule are deened under the notion of Nash equilibrium point. The existence of an equilibrium strategy and its characterization by integral equations are obtained. Illustrative examples … shoot-a-way basketball gunWebNoun. ( en noun ) Something that is slightly different from a type or norm. All breeds of dog are variants of the species “Canis lupus familiaris”. The word "kerosine" is a variant of … shoot-a-way priceWebJan 12, 2007 · We study nonzero-sum stopping games with randomized stopping strategies. The existence of Nash equilibrium and ɛ-equilibrium strategies are discussed … shoot-down site priceWebOptimal stopping problems and a game against nature Adriana Ocejo Monge Object of study Optimal stopping problems Some examples Aim The setting The problem … shoot-long.com