Multiple Stopping Problems

Multiple Stopping Problems
Author :
Publisher : CRC Press
Total Pages : 376
Release :
ISBN-10 : 9781040228920
ISBN-13 : 1040228925
Rating : 4/5 (20 Downloads)

Synopsis Multiple Stopping Problems by : Georgy Sofronov

This book presents the theory of rational decisions involving the selection of stopping times in observed discrete-time stochastic processes, both by single and multiple decision-makers. Readers will become acquainted with the models, strategies, and applications of these models. It begins with an examination of selected models framed as stochastic optimization challenges, emphasizing the critical role of optimal stopping times in sequential statistical procedures. The authors go on to explore models featuring multiple stopping and shares on leading applications, particularly focusing on change point detection, selection problems, and the nuances of behavioral ecology. In the following chapters, an array of perspectives on model strategies is presented, elucidating their interpretation and the methodologies underpinning their genesis. Essential notations and definitions are introduced, examining general theorems about solution existence and structure, with an intricate analysis of optimal stopping predicaments and addressing crucial multilateral models. The reader is presented with the practical application of models based on multiple stopping within stochastic processes. The coverage includes a diverse array of domains, including sequential statistics, finance, economics, and the broader generalization of the best-choice problem. Additionally, it delves into numerical and asymptotic solutions, offering a comprehensive exploration of optimal stopping quandaries. The book will be of interest to researchers and practitioners in fields such as economics, finance, and engineering. It could also be used by graduate students doing a research degree in insurance, economics or business analytics or an advanced undergraduate course in mathematical sciences.

Optimal Stopping Problems in Operations Management

Optimal Stopping Problems in Operations Management
Author :
Publisher : Stanford University
Total Pages : 159
Release :
ISBN-10 : STANFORD:yx778cf5733
ISBN-13 :
Rating : 4/5 (33 Downloads)

Synopsis Optimal Stopping Problems in Operations Management by : SeChan Oh

Optimal stopping problems determine the time to terminate a process to maximize expected rewards. Such problems are pervasive in the areas of operations management, marketing, statistics, finance, and economics. This dissertation provides a method that characterizes the structure of the optimal stopping policy for a general class of optimal stopping problems. It also studies two important optimal stopping problems arising in Operations Management. In the first part of the dissertation, we provide a method to characterize the structure of the optimal stopping policy for the class of discrete-time optimal stopping problems. Our method characterizes the structure of the optimal policy for some stopping problems for which conventional methods fail. Our method also simplifies the analysis of some existing results. Using the method, we determine sufficient conditions that yield threshold or control-band type optimal stopping policies. The results also help characterize parametric monotonicity of optimal thresholds and provide bounds for them. In the second part of the dissertation, we first generalize the Martingale Model of Forecast Evolution to account for multiple forecasters who forecast demand for the same product. The result enables us to consistently model the evolution of forecasts generated by two forecasters who have asymmetric demand information. Using the forecast evolution model, we next study a supplier's problem of eliciting credible forecast information from a manufacturer when both parties obtain asymmetric demand information over multiple periods. For better capacity planning, the supplier designs and offers a screening contract that ensures the manufacturer's credible information sharing. By delaying to offer this incentive mechanism, the supplier can obtain more information. This delay, however, may increase (resp., or decrease) the degree of information asymmetry between the two firms, resulting in a higher (resp., or lower) cost of screening. The delay may also increase capacity costs. Considering all such trade-offs, the supplier has to determine how to design a mechanism to elicit credible forecast information from the manufacturer and when to offer this incentive mechanism. In the last part of the dissertation, we study a manufacturer's problem of determining the time to introduce a new product to the market. Conventionally, manufacturing firms determine the time to introduce a new product to the market long before launching the product. The timing decision involves considerable risk because manufacturing firms are uncertain about competing firms' market entry timing and the outcome of production process development activities at the time when they make the decision. As a solution for reducing such risk, we propose a dynamic market entry strategy under which the manufacturer makes decisions about market entry timing and process improvements in response to the evolution of uncertain factors. We show that the manufacturer can reduce profit variability and increase average profit by employing this dynamic strategy. Our study also characterizes the industry conditions under which the dynamic strategy is most effective.

Algorithms to Live By

Algorithms to Live By
Author :
Publisher : Macmillan
Total Pages : 366
Release :
ISBN-10 : 9781627790369
ISBN-13 : 1627790365
Rating : 4/5 (69 Downloads)

Synopsis Algorithms to Live By by : Brian Christian

'Algorithms to Live By' looks at the simple, precise algorithms that computers use to solve the complex 'human' problems that we face, and discovers what they can tell us about the nature and origin of the mind.

The Theory of Optimal Stopping

The Theory of Optimal Stopping
Author :
Publisher : Dover Publications
Total Pages : 139
Release :
ISBN-10 : 0486666506
ISBN-13 : 9780486666501
Rating : 4/5 (06 Downloads)

Synopsis The Theory of Optimal Stopping by : Yuan Shih Chow

Stop Guessing

Stop Guessing
Author :
Publisher : Berrett-Koehler Publishers
Total Pages : 160
Release :
ISBN-10 : 9781626569874
ISBN-13 : 1626569878
Rating : 4/5 (74 Downloads)

Synopsis Stop Guessing by : Nat Greene

Illustrated with examples ranging from everyday issues to serious problems, this book will help you understand the behaviors that great problem-solvers use to tackle the hardest problems with skill and panache, regardless of the industry or nature of the problem. --

Generalized Optimal Stopping Problems and Financial Markets

Generalized Optimal Stopping Problems and Financial Markets
Author :
Publisher : Routledge
Total Pages : 132
Release :
ISBN-10 : 9781351445818
ISBN-13 : 1351445812
Rating : 4/5 (18 Downloads)

Synopsis Generalized Optimal Stopping Problems and Financial Markets by : Dennis Wong

Provides mathematicians and applied researchers with a well-developed framework in which option pricing can be formulated, and a natural transition from the theory of optimal stopping problems to the valuation of different kinds of options. With the introduction of generalized optimal stopping theory, a unifying approach to option pricing is presented.

Atomic Habits

Atomic Habits
Author :
Publisher : Penguin
Total Pages : 321
Release :
ISBN-10 : 9780735211292
ISBN-13 : 0735211299
Rating : 4/5 (92 Downloads)

Synopsis Atomic Habits by : James Clear

The #1 New York Times bestseller. Over 20 million copies sold! Translated into 60+ languages! Tiny Changes, Remarkable Results No matter your goals, Atomic Habits offers a proven framework for improving--every day. James Clear, one of the world's leading experts on habit formation, reveals practical strategies that will teach you exactly how to form good habits, break bad ones, and master the tiny behaviors that lead to remarkable results. If you're having trouble changing your habits, the problem isn't you. The problem is your system. Bad habits repeat themselves again and again not because you don't want to change, but because you have the wrong system for change. You do not rise to the level of your goals. You fall to the level of your systems. Here, you'll get a proven system that can take you to new heights. Clear is known for his ability to distill complex topics into simple behaviors that can be easily applied to daily life and work. Here, he draws on the most proven ideas from biology, psychology, and neuroscience to create an easy-to-understand guide for making good habits inevitable and bad habits impossible. Along the way, readers will be inspired and entertained with true stories from Olympic gold medalists, award-winning artists, business leaders, life-saving physicians, and star comedians who have used the science of small habits to master their craft and vault to the top of their field. Learn how to: make time for new habits (even when life gets crazy); overcome a lack of motivation and willpower; design your environment to make success easier; get back on track when you fall off course; ...and much more. Atomic Habits will reshape the way you think about progress and success, and give you the tools and strategies you need to transform your habits--whether you are a team looking to win a championship, an organization hoping to redefine an industry, or simply an individual who wishes to quit smoking, lose weight, reduce stress, or achieve any other goal.

Logistics Systems Analysis

Logistics Systems Analysis
Author :
Publisher : Springer Science & Business Media
Total Pages : 310
Release :
ISBN-10 : 9783540275169
ISBN-13 : 3540275169
Rating : 4/5 (69 Downloads)

Synopsis Logistics Systems Analysis by : Carlos F. Daganzo

"... a well structured and documented book that certainly reflects the new era of logistics." Journal of the Operational Research Society (of a previous edition) Expanded edition includes new research results and numerous modifications to enhance comprehensiveness and clarity. Two new sections, a new appendix, and more than half a dozen new figures. Provides new concept for an integrated examination of logistics systems Features "reasonable" solutions requiring as little information as possible

Modeling and Valuation of Energy Structures

Modeling and Valuation of Energy Structures
Author :
Publisher : Springer
Total Pages : 547
Release :
ISBN-10 : 9781137560155
ISBN-13 : 1137560150
Rating : 4/5 (55 Downloads)

Synopsis Modeling and Valuation of Energy Structures by : Daniel Mahoney

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult. These facts make it very easy for modeling efforts to run into serious problems, as many models are very sensitive to noise and hence can easily fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations, reflecting the author's 17 years of experience as a front-office 'quant'. The major theme of the book is that simpler is usually better, a message that is drawn out through the reality of incomplete markets, small samples, and informational constraints. The necessary mathematical tools for understanding these issues are thoroughly developed, with many techniques (analytical, econometric, and numerical) collected in a single volume for the first time. A particular emphasis is placed on the central role that the underlying market resolution plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly ambitious attempts at detailed qualitative modeling.