Dissertations / Theses on the topic 'Stopping'
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Garris, Bill R., and Mary M. Klug. "Stopping Internet Addiction." Digital Commons @ East Tennessee State University, 2018. https://dc.etsu.edu/etsu-works/3148.
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Thakrar, Bharatkumar. "Non-commutative stopping times." Thesis, Imperial College London, 1988. http://hdl.handle.net/10044/1/47273.
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Vaicenavicius, Juozas. "Optimal Stopping under Drift Uncertainty." Licentiate thesis, Uppsala universitet, Analys och sannolikhetsteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-251743.
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Foncea, Araneda Patricio Tomás. "Optimal stopping in mechanism design." Tesis, Universidad de Chile, 2017. http://repositorio.uchile.cl/handle/2250/146675.
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Magíster en Gestión de Operaciones.
Ingeniero Civil MatemáticoEn este trabajo estudiamos un par de problemas de la teoría de paradas óptimas, y mostramos cómo aplicar estos resultados en el diseño de mecanismos. Consideramos dos versiones modificadas de la famosa desigualdad del profeta [10, 16, 17]: una no-adaptativa donde la regla de parada debe ser decidida de antemano, y una adaptativa --- que corresponde a la configuración clásica de la desigualdad del profeta ---, pero en el caso restringido cuando las distribuciones de las variables aleatorias están idénticamente distribuidas [13]. Para la primera situación, encontramos un factor de garantía para la regla de parada con respecto al máximo esperado de la secuencia de variables aleatorias y demostramos que es la mejor posible; para el segundo, probamos que una conjetura sobre cuál es el mejor factor posible es verdadera [14]. Cerramos esta tesis extendiendo estos resultados para resolver el problema de un vendedor que enfrenta a muchos compradores potenciales y debe diseñar una subasta secuencial para maximizar sus ingresos. El tipo de mecanismos que consideramos para estudiar este problema de pricing son los mecanismos posted price, y los resultados que obtenemos toman la forma de factores de aproximación con respecto al valor de la subasta óptima [19].
In this work we study a pair of problems in optimal stopping theory, and show how to apply these results in mechanism design. We consider two modified versions of the famous prophet inequality [10, 16, 17]: a non-adaptive where the stop rule must be decided beforehand, and an adaptive one --- which corresponds to the classical prophet inequality setting ---, but when the distributions of the random variables are identical [13]. For the first set-up, we find a new factor guarantee with respect to the expected maximum of the random variables sequence and prove it is the best possible; for the second, we prove that a conjecture about the best possible factor achievable is true [14]. We close this dissertation by extending these results to solve the problem of a seller that faces many potential buyers and must design a sequential auction in order to maximize its revenue. The type of mechanisms we consider to study this pricing problem are the posted price mechanisms, and the results we get are in the form of approximation factors guarantees with respect to the optimal auction [19].
Este trabajo ha sido parcialmente financiado por Conicyt y el Núcleo Milenio Información y Coordinación en Redes
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Sun, Jian S. M. Massachusetts Institute of Technology. "Reputation with stopping time decision." Thesis, Massachusetts Institute of Technology, 2020. https://hdl.handle.net/1721.1/129088.
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Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, September, 2020Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 27-28).
This paper studies a long run relationship between two players while one player has reputation concern and the other player's decision is a stopping time. The equilibrium structure depends on the value of the long run relationship: when the value of the relationship is low, a simple threshold equilibrium is the unique equilibrium; when the value becomes higher, a probationary period endogenously arises when reputation is in an intermediate region. Reputation concern also has discipline effect, moral hazard problem is mitigated when player's reputation becomes worse, and the discipline effect is dominating when reputation is sufficiently bad.
by Jian Sun.
S.M. in Management Research
S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management
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Spachis, Alexandra Sofia Evangelia. "Optimal stopping for portfolio management." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/33134.
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This thesis is concerned with the modelling and algorithmic development of a Stopping Rule Problem (SRP) in the area of Portfolio Management. More specifically, the objective is to provide an exit strategy for an invested portfolio containing one or more assets. The exit strategy aims to protect gains in addition to limiting losses. The thesis focuses on the investment/disinvestment in the portfolio and is not concerned with the composition of the portfolio. A new Finite Horizon SRP, referred to as the Portfolio Management Problem (PMP), has been proposed that allows future scenarios to be considered in the optimisation of the exit time. The PMP aims at maximizing the expected reward of a Portfolio Manager (PM) through an optimal policy. A Dynamic Programming approach is proposed and the DP algorithm developed is capable of solving real-life problems for short- and long-term trades. The applicability of the PMP is limited to cases where no constraints have been imposed by the PM. In view of adding more realism into the model, a Stop Loss and Target Return has been encapsulated in the formulation of the PMP model and thus, in the optimisation of the exit time. The impact of the model with enhanced managerial capabilities, is a better control of the maximum drawdown which restricts the risk of investment, influencing positively metrics of performance. An efficient tradeoff between computational time and size of problem solved has been developed. The final part of this thesis focuses on a PMP which takes into consideration in a dynamic way the new market information for the determination of the optimal policy for assets exhibiting Mean-reversion (MR). This has been achieved through the insertion of a MR Rule specifically developed for the PMP which quantifies future tendencies of the asset prices based on its varying average. An algorithm dealing with the further additional memory requirements has been developed, capable of solving problems of size identical to the original PMP.
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Qiang, Li. "Pair Trading in Optimal Stopping Theory." Thesis, Uppsala University, Department of Mathematics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-119421.
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Taghavi, Ehsan, Fredrik Lindsten, Lennart Svensson, and Thomas B. Schön. "Adaptive stopping for fast particle smoothing." Linköpings universitet, Reglerteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-93461.
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Particle smoothing is useful for offline state inference and parameter learning in nonlinear/non-Gaussian state-space models. However, many particle smoothers, such as the popular forward filter/backward simulator (FFBS), are plagued by a quadratic computational complexity in the number of particles. One approach to tackle this issue is to use rejection-sampling-based FFBS (RS-FFBS), which asymptotically reaches linear complexity. In practice, however, the constants can be quite large and the actual gain in computational time limited. In this contribution, we develop a hybrid method, governed by an adaptive stopping rule, in order to exploit the benefits, but avoid the drawbacks, of RS-FFBS. The resulting particle smoother is shown in a simulation study to be considerably more computationally efficient than both FFBS and RS-FFBS.CNDM
CADICS
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Jones, Martin Lee. "Universal constants in optimal stopping theory." Diss., Georgia Institute of Technology, 1989. http://hdl.handle.net/1853/30092.
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Daher, Ali. "Local stopping rules for gossip algorithms." Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103676.
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The increasing importance of gossip algorithms is beyond dispute. Randomized gossip algorithms are attractive for collaborative in-network processing and aggregation because they are fully asynchronous, they require no overhead to establish and form routes, and they do not create any bottleneck or single point of failure. All nodes maintain independent asynchronous random clocks, and when a node's clock ticks it initiates a new round of gossip: it randomly selects a neighboring node, exchanges information with the neighbor, and the two nodes compute local updates. When these updates involve averaging the values of the two nodes that gossiped, the algorithm solves the widely-studied average consensus problem which is the focus in this thesis. To analyze the energy-accuracy tradeoff for randomized gossip, previous studies have focused on analyzing the worst-case number of transmissions required to reach a specified level of accuracy, over all initial conditions. In a practical implementation, though, rather than always running for the worst-case number of transmissions, one would like to fix a desired level of accuracy in advance and have the algorithm run for as many iterations as are necessary to achieve this accuracy with high probability. This thesis describes and analyzes an implicit local stopping rule with theoretical performance guarantees. After a node's estimate has not changed significantly for a number of consecutive iterations, it ceases to initiate new gossip rounds. To avoid stopping early and biasing the computation, stopped nodes still participate in gossip rounds when contacted by a neighbor. We provide theoretical guarantees on the final accuracy of the estimates across the network as a function of the algorithm parameters. Through simulation, we show that applying the local stopping rule leads to significant savings in the number of transmissions for many relevant initial conditions. In practical applications one often wishes to track a time-varying average, rather than compute a static quantity. In this scenario, we illustrate that our local stopping rule can be viewed as an event-triggered gossip algorithm. Simulations illustrate the benefits of the proposed approach.L'importance croissante des algorithmes décentralisées de passage de messages est incontestable. Ces algorithmes sont attrayants pour le traitement d'information dans les réseaux de collaboration et l'agrégation parce qu'ils sont totalement asynchrones, ils ne nécessitent pas de frais généraux pour établir et former les routes, il n'exige pas de coordination centralisée et conséquemment ils ne créent pas de goulot d'étranglement ou de point de défaillance unique dans le réseau. Tous les noeuds maintiennent indépendamment des horloges asynchrone, lorsque l'horloge d'un noeud tiques, le noeud initie un nouveau cycle de passage de messages: il sélectionne aléatoirement un noeud voisin, échange des informations avec le voisin, et les deux noeuds calculent et mettent a jour leur variables. Lorsque ces mises à jour incluent le calcul de la moyenne des valeurs des deux noeuds, l'algorithme permet de résoudre le problème du calcul du consensus moyen qui est le sujet de discussion du présent document. Afin d'analyser le compromis entre l'énergie de transmission et la précision de la valeur du consensus, de études antérieures ont porté sur l'analyse du nombre basé sur le pire des cas pour atteindre un niveau de précision. Dans une mise en oeuvre pratique, cependant, au lieu d'être toujours en cours d'exécution du nombre de pire des cas de transmissions, on voudrait fixer un niveau de précision désiré à l'avance et l'algorithme exécutera conséquemment un nombre d'itérations nécessaires pour obtenir cette précision avec haute probabilité. Ce document décrit et analyse une règle d'arrêt implicite locale avec garanties de performance théorique. Quand un noeud estime qu'il n'a pas changé de manière significative pour un certain nombre d'itérations consécutives, il cesse l'échange de donnée la prochaine fois que son horloge tique. Nous soulignons ici que pour éviter l'arrêt précoce de l'algorithme, le noeud participe au passage de message lorsqu'il est contacté par un voisin. Nous offrons des garanties théoriques sur la précision finale des estimations sur le réseau en fonction des paramètres de l'algorithme. En se basant sur les simulations, nous montrons que l'application de la règle d'arrêt local conduit à des économies importantes dans le nombre de transmissions pour de nombreuses conditions initiales. Dans les applications pratiques on souhaite souvent suivre une moyenne variante dans le temps, au lieu de calculer une quantité statique. Dans cette thèse nous développerons des algorithmes de passage de messages déclenchés par le événements pour suivre les signaux variables dans le temps. Des simulations illustrent les avantages de l'approche proposée.
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Rodosthenous, Neofytos. "Optimal stopping problems in mathematical finance." Thesis, London School of Economics and Political Science (University of London), 2013. http://etheses.lse.ac.uk/706/.
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This thesis is concerned with the pricing of American-type contingent claims. First, the explicit solutions to the perpetual American compound option pricing problems in the Black-Merton-Scholes model for financial markets are presented. Compound options are financial contracts which give their holders the right (but not the obligation) to buy or sell some other options at certain times in the future by the strike prices given. The method of proof is based on the reduction of the initial two-step optimal stopping problems for the underlying geometric Brownian motion to appropriate sequences of ordinary one-step problems. The latter are solved through their associated one-sided free-boundary problems and the subsequent martingale verification for ordinary differential operators. The closed form solution to the perpetual American chooser option pricing problem is also obtained, by means of the analysis of the equivalent two-sided free-boundary problem. Second, an extension of the Black-Merton-Scholes model with piecewise-constant dividend and volatility rates is considered. The optimal stopping problems related to the pricing of the perpetual American standard put and call options are solved in closed form. The method of proof is based on the reduction of the initial optimal stopping problems to the associated free-boundary problems and the subsequent martingale verification using a local time-space formula. As a result, the explicit algorithms determining the constant hitting thresholds for the underlying asset price process, which provide the optimal exercise boundaries for the options, are presented. Third, the optimal stopping games associated with perpetual convertible bonds in an extension of the Black-Merton-Scholes model with random dividends under different information flows are studied. In this type of contracts, the writers have a right to withdraw the bonds before the holders can exercise them, by converting the bonds into assets. The value functions and the stopping boundaries' expressions are derived in closed-form in the case of observable dividend rate policy, which is modelled by a continuous-time Markov chain. The analysis of the associated parabolic-type free-boundary problem, in the case of unobservable dividend rate policy, is also presented and the optimal exercise times are proved to be the first times at which the asset price process hits boundaries depending on the running state of the filtering dividend rate estimate. Moreover, the explicit estimates for the value function and the optimal exercise boundaries, in the case in which the dividend rate is observable by the writers but unobservable by the holders of the bonds, are presented. Finally, the optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model, in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and its maximum drawdown, are studied. The latter process represents the difference between the running maximum and the current asset value. The optimal stopping times for exercising are shown to be the first times, at which the price of the underlying asset exits some regions restricted by certain boundaries depending on the running values of the associated maximum and maximum drawdown processes. The closed-form solutions to the equivalent free-boundary problems for the value functions are obtained with smooth fit at the optimal stopping boundaries and normal reflection at the edges of the state space of the resulting three-dimensional Markov process. The optimal exercise boundaries of the perpetual American call, put and strangle options are obtained as solutions of arithmetic equations and first-order nonlinear ordinary differential equations.
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Benkherouf, Lakdere. "Optimal stopping rules in oil exploration." Thesis, Imperial College London, 1988. http://hdl.handle.net/10044/1/46958.
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Wang, Yuqiong. "Optimal Stopping with Discrete Costly Observations." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-358042.
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Abramov, Vilen. "Stopping Times Related to Trading Strategies." Kent State University / OhioLINK, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=kent1209080577.
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Lu, Bing. "Optimal stopping and incomplete information in finance." Licentiate thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-164340.
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Fedyszak-Koszela, Anna. "On the optimal stopping time of learning." Licentiate thesis, Mälardalen University, School of Education, Culture and Communication, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-1531.
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The goal of this thesis is to study the economics of computational learning. Attention is also paid to applications of computational learning models, especially Valiant's so-called `probably approximately correctly' (PAC) learning model, in econometric situations.
Specifically, an economically reasonable stopping time model of learning is the subject of two attached papers. In the rst paper, Paper A, the economics of PAC learning are considered. It is shown how a general form of the optimal stopping time bounds can be achieved using the PAC convergence rates for a `pessimistic-rational' learner in the most standard binary case of passive supervised PAC model of finite Vapnik-Chervonenkis (VC) dimension.
The second paper, Paper B, states precisely and improves the ideas introduced in Paper A and tests them in a specific and mathematically simple case. Using the maxmin procedure of Gilboa and Schmeidler the bounds for the stopping time are expressed in terms of the largest expected error of recall, and thus, effectively, in terms of the least expected reward. The problem of locating a real number θ by testing whether xi ≤ θ , with xi drawn from an calculated for a range of term rates, sample costs and rewards/penalties from a recall ae included. The standard econometric situations, such as product promotion, market research, credit risk assessment, and bargaining and tenders, where such bounds could be of interest, are pointed.
These two papers are the essence of this thesis, and form it togheter with an introduction to the subject of learning.
Målet med denna avhandling är att studera optimering av inlärning när det finns kostnader. Speciellt studerar jag Valiants så kallade PAC-inlärningsmodell (Probably Approximately Correctly), ofta använd inom datavetenskap. I två artiklar behandlar jag hur länge, ur ekonomisk synvinkel, inlärningsperioden bör fortsätta.
I den första artikeln visar vi hur en generell form av begränsningar av den optimala inlärningsperioden kan fås med hjälp av PAC-konvergenshastigheten för en ’pessimistiskt rationell’ studerande (i det vanligaste binära fallet av passiv PAC-inlärningsmodell med ändlig VC-dimension).
I den andra artikeln fördjupar och förbättrar vi idéerna från den första artikeln, och testar dem i en specifik situation som är matematiskt enkel. Med hjälp av Gilboa – Schmeidlers max - minprocedur uttrycker vi begränsningarna av den optimala inlärningsperioden som funktion av det största förväntade felet och därmed som funktion av den minsta förväntade belöningen. Vi diskuterar problemet med att hitta ett reellt tal θ genom testning av huruvida xi ≤ θ, där xi dras från en okänd fördelning. Här tar vi också upp exempel på begränsningar av inlärningsperioden, beräknade för en mängd av diskontovärden, stickprovskostnader och belöning/straff för erinran, samt en del vanliga ekonometriska situationer där sådana begränsningar är av intresse, såsom marknadsföring av produkter, marknadsanalys, kreditriskskattning och offertförhandling.
Avhandlingen består i huvuddel av dessa två artiklar samt en kort introduktion till ekonomiska, matematiska och datavetenskapliga inlärningsmodeller.
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Chun, Wang. "Optimal stopping problems with applications to finance." Thesis, University of Nottingham, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576154.
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This thesis considers several optimal stopping problems motivated by mathematical fi- nance, using the so-called martingale and Markov approaches for optimal stopping prob- lems. We first extend the pricing problem for American options under geometric Brownian motion models to a wider range of payoff functions and, by adding a continuous-time Markov chain to the dynamic, to a regime-switching model. We then allow the time horizon during which the underlying process evolves to be a random variable. This is further adapted to a regime-switching Cox-Ingersoll-Ross model with application to pricing American bond options. The key idea for all these three extensions is to simplify the problems by removing their dependence on the Markov chain and so reducing them to the study of simplified optimal stopping problems for which the martingale approach works. We then compose the value functions of the latter problems in certain manner to obtain the solutions of the original problems. We obtain the shape of optimal stopping regions and the differential equations satisfied by the value functions. Another problem we consider is an optimal prediction problem for Geometric Brownian motion which is motivated by selling stocks at optimal prices. We use the Girsanov theory of change of measure to transform the prediction problem to a standard optimal stopping problem with a reflected Brownian motion as the underlying process. We then follow the Markov approach to investigate the shape of the stopping region and characterize the optimal selling rule for the original problem.
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Chan, Lon Polly Pui. "Two explicitly solvable problems with discretionary stopping." Thesis, London School of Economics and Political Science (University of London), 2011. http://etheses.lse.ac.uk/337/.
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This thesis is concerned with two explicitly solvable stochastic control problems that incorporate discretionary stopping. The first of these problems combines the features of the so-called monotone follower of singular stochastic control theory with optimal stop- ping. The uncontrolled state dynamics are modelled by a general one-dimensional It^o diffusion. The aim of the problem is to maximise the utility derived from the system's controlled state at the discretionary time when the system's control is terminated. This objective is re ected by an appropriate performance criterion, which also penalises con- trol expenditure as well as waiting. In the presence of rather general assumptions, the optimal strategy, which can take one of three qualitatively different forms, depending on the problem data, is fully characterised. The second problem is concerned with the optimal stopping of a diffusion with gen-eralised drift over an infinite horizon. The dynamics of the underlying state process are similar to the ones of a geometric Brownian motion. In particular, the drift of the state process incorporates the process' local time at a given level in an additive way. The ob- jective of this problem is to maximise the expected discounted payoff that stopping the underlying diffusion yields over all stopping times. The associated reward function is the one of a financial call option. The optimal stopping strategy can take six qualitatively different forms, depending on parameter values.
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Borchgrevink, Fredrik. "Stopping Piracy: Refocusing on Land-based Governance." Thesis, Monterey, California. Naval Postgraduate School, 2012. http://hdl.handle.net/10945/7310.
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The rise in piracy throughout the world in recent years has forced the international community to invest heavily in measures to counter the threat. However, these efforts have had little effect. Lately, the trends in Southeast Asia seem to have turned. In order to counter piracy efficiently, it is critical to fully understand the background and root causes for the phenomenon. Piracy is blamed by some on poverty, relative deprivation, and the lack of local institutions. This paper investigates piracy in the Caribbean, the Strait of Malacca, and Somalia, and finds that piracy is directly linked to the level of land-based governance. Poverty, relative deprivation, and a lack of local institutions are merely factors exploitable by organized pirate networks in territories with a low level of governance. By exploring levels of land-based governance in territories close to main shipping routes, possible emerging safe havens for pirates may be found.
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Lundgren, Robin. "Optimal stopping and convergence of option rewards /." Västerås : School of Education, Culture and Communication, Mälardalen University, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-5637.
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Ott, Curdin. "Optimal stopping problems for the maximum process." Thesis, University of Bath, 2013. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.601683.
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A cornerstone in the theory of optimal stopping for the maximum process is a result known as Peskir’s maximality principle. It has proved to be a powerful tool to solve optimal stopping problems involving the maximum process under the assumption that the driving process X is a time-homogeneous diffusion. In this thesis we adapt Peskir’s maximality principle to allow for X a spectrally negative L´evy processes, thereby providing a general method to approach optimal stopping problems for the maximum process driven by spectrally negative L´evy processes. We showcase this by explicitly solving three optimal stopping problems and the capped versions thereof. Here capped version means a modification of the original optimal stopping problem in the sense that the payoff is bounded from above by some constant. Moreover, we discuss applications of the aforementioned optimal stopping problems in option pricing in financial markets whose price process is driven by an exponential spectrally negative L´evy process. Finally, to further highlight the applicability of our general method, we present the solution to the problem of predicting the time at which a positive self-similar Markov process with one-sided jumps attains its maximum or minimum.
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Hopkins, Brandon J. (Brandon James). "Stopping self-discharge in metal-air batteries." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/120466.
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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Mechanical Engineering, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 67-78).
Metal-air batteries boast high theoretical energy densities, but negative electrode corrosion can severely reduce their usable capacity and commercial utility. Most methods to mitigate corrosion focus on electrode and electrolyte modification such as electrode alloying, electrolyte additives, and gel and nonaqueous electrolytes. These methods, however, either insufficiently suppress the parasitic reaction or compromise power and energy density. This thesis focuses on a different approach to corrosion mitigation involving electrolyte displacement from the electrode surface. Multiple electrolyte-displacement concepts were generated and investigated. The most promising of the concepts was the reversible displacement of the electrolyte from the electrode surface with an oil. To enable this method, the fundamental physics of underwater oil-fouling resistant surfaces was investigated, tested, and characterized. Design equations that aid in the appropriate selection of electrodes, displacing oils, and separator membranes were also developed. The oil displacement method was demonstrated in a primary (single-use) aluminum-air (Al-air) battery that achieved a 420% increase in useable energy density and was estimated to enable pack-level energy densities as high as 700 Wh 1- and 900 Wh kg-1. This method could, in principle, be used in any of the metal-air batteries, aqueous or nonaqueous, or in other energy storage systems that suffer from corrosion if appropriate displacing oils and separator membranes are found using the discussed design principles. With the oil displacement method, aqueous metal-air batteries that rely on abundant, broadly dispersed materials could provide safe, low-cost, sustainable primary and secondary (rechargeable) batteries for many applications including grid-storage, off-grid storage, robot power, and vehicular propulsion.
by Brandon J. Hopkins.
Ph. D.
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Shukri, Abdullah. "Ab initio electronic stopping power in materials." Palaiseau, Ecole polytechnique, 2015. https://tel.archives-ouvertes.fr/tel-01269549/document.
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Le pouvoir d'arrêt électronique est essentiel pour de nombreuses applications qui dépendent du transport des ions dans la matière, comme par exemple, la protonthérapie utilisée en médecine. Tandis que de nombreuses données expérimentales sont disponibles pour les élements purs, les données sont beaucoup plus parcellaires pour les matériaux binaires. Au cours de cette thèse, nous avons développé une approche numérique complètement ab initio fondée sur l'approximation de la réponse linéaire dans le cadre de la théorie de la fonctionnelle de la densité dépendente du temps, afin de prédire le pouvoir d'arrêt moyen d'un ion dans un matériau, sans recourrir à des ajustements sur l'expérience. Le code développé a été inséré dans le projet libre ABINIT. Tout d'abord, nous démontrons l'importance de la description réaliste de la structure électronique en comparant nos résultats à des calculs modèles de gaz d'électrons libres. Nous montrons que le pouvoir d'arrêt calculé est en bon accord avec l'expérience, pourvu que les calculs soient bien convergés et que les effets tels que l'excitation des électrons de coeur et l'échange-corrélation soient pris en compte. De façon surprenante, les effets au-delà de l'approximation linéaire restent limités pour les protons. Finalement, nous explorons le domaine de validité de quelques règles empiriques, communément utilisées par les expérimentateursThe knowledge of the stopping power is essential for a variety of applications which depend on the transport of ions in matter: for instance, the use of proton or heavier ion beams in radiotherapy. Whereas experimental data are readily available for elemental solids, the data are much more scarce for compounds. In this thesis, we develop a fully ab initio scheme based on linear response time-dependent density functional theory to predict the impact parameter averaged quantity named the random electronic stopping power (RESP) of materials without any empirical fitting. Our developments have been done within the open-source ab initio code named ABINIT, where two approximations are now available: the Random Phase Approximation (RPA) and the Adiabatic Local Density Approximation (ALDA). First, we demonstrate the importance of describing the realistic ab initio electronic structure by comparing ab initio against models based on the free-electron gas. We show that the calculated RESP compares well with experimental data, when at full convergence, with the inclusion of the core states and of the exchange-correlation. Also, we evaluate the unexpectedly limited magnitude of the non-linear terms in the RESP by comparing with other approaches based on the time-propagation of time-dependent density-functional theory. In addition, we check the validity of a few empirical rules of thumbs that are commonly employed for the experimental interpretation or for the prediction with empirical codes
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Quartuccio, James Nathan. "Autonomous Tractor-Trailer Stopping and Jackknifing Dynamics." Thesis, Virginia Tech, 2019. http://hdl.handle.net/10919/90383.
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With autonomy becoming a reality for passenger cars, developing an autonomous for tractor-trailers is the next step for driverless roads. Tractor-trailers are heavy, large, and have a pivot joint between the tractor and trailer that makes the movement between the two more complicated. The purpose of the research presented here is to determine the best forward "looking" perception sensor that will see far out enough for the vehicle to stop in time to avoid hitting an object.
In order to determine the best sensor, a review of previous sensors and autonomous vehicle sensors will be explored along with the various perception technology. Additionally, a simulation of a tractor-trailer stopping was created to determine the range necessary for a forward perception sensor and when jackknifing may occur. The best brake type for a tractor-trailer will be recommended as well. Finally, the best forward sensor and senor layout for an autonomous tractor-trailer is made based upon the simulation results for the stopping distance of a tractor-trailer. The work, however, is not fully complete. A discussion of the future work and validation of the sensors selected will give future research goals.Master of Science
With autonomy becoming a reality for passenger cars, developing an autonomous for tractor-trailers is the next step for driverless roads. Tractor-trailers are heavy, large, and have a pivot joint between the tractor and trailer that makes the movement between the two more complicated. The purpose of the research presented here is to determine the best forward “looking” perception sensor that will see far out enough for the vehicle to stop in time to avoid hitting an object. In order to determine the best sensor, a review of previous sensors and autonomous vehicle sensors will be explored along with the various perception technology. Additionally, a simulation of a tractor-trailer stopping was created to determine the range necessary for a forward perception sensor and when jackknifing may occur. The best brake type for a tractor-trailer will be recommended as well. Finally, the best forward sensor and senor layout for an autonomous tractor trailer is made based upon the simulation results for the stopping distance of a tractor-trailer. The work, however, is not fully complete. A discussion of the future work and validation of the sensors selected will give future research goals.
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Rabi, Maben, Karl Henrik Johansson, and Mikael Johansson. "Optimal stopping for event-triggered sensing and actuation." KTH, Reglerteknik, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-80709.
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Novel event-triggered sensing and actuation strategies are presented for networked control systems with limited communication resources. Two architectures are considered: one with the controller co-located with the sensor and one with the control co-located with the actuator. A stochastic control problem with an optimal stopping rule is shown to capture two interesting instances of these architectures. The solution of the problem leads to a parametrization of the control alphabet as piecewise constant commands. The execution of the control commands is triggered by stopping rules for the sensor. In simple situations, it is possible to analytically derive the optimal controller. Examples illustrate how the new event-based control and sensing strategies outperform conventional time-triggered schemes.© 2008 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. Qc 20120220
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Landon, Nicolas. "Almost sure optimal stopping times : theory and applications." Phd thesis, Ecole Polytechnique X, 2013. http://pastel.archives-ouvertes.fr/pastel-00788067.
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Résumé : Cette thèse comporte 8 chapitres. Le chapitre 1 est une introduction aux problématiques rencontrées sur les marchés énergétiques : fréquence d'intervention faible, coûts de transaction élevés, évaluation des options spread. Le chapitre 2 étudie la convergence de l'erreur de couverture d'une option call dans le modèle de Bachelier, pour des coûts de transaction proportionnels (modèle de Leland-Lott) et lorsque la fréquence d'intervention devient infinie. Il est prouvé que cette erreur est bornée par une variable aléatoire proportionnelle au taux de transaction. Cependant, les démonstrations de convergence en probabilité demandent des régularités sur les sensibilités assez restrictives en pratique. Les chapitres suivants contournent ces obstacles en étudiant des convergences presque sûres. Le chapitre 3 développe tout d'abord de nouveaux outils de convergence presque sûre. Ces résultats ont de nombreuses conséquences sur le contrôle presque sûr de martingales et de leur variation quadratique, ainsi que de leurs incréments entre deux temps d'arrêt généraux. Ces résultats de convergence trajectorielle sont connus pour être difficiles à obtenir sans information sur les lois. Par la suite, nous appliquons ces résultats à la minimisation presque sûre de la variation quadratique renormalisée de l'erreur de couverture d'une option de payoff général (cadre multidimensionnel, payoff asiatique, lookback) sur une large classe de temps d'intervention. Une borne inférieure à notre critère est trouvée et une suite minimisante de temps d'arrêt optimale est exhibée : il s'agit de temps d'atteinte d'ellipsoïde aléatoire, dépendant du gamma de l'option. Le chapitre 4 étudie la convergence de l'erreur de couverture d'une option de payoff convexe (dimension 1) en prenant en compte des coûts de transaction à la Leland-Lott. Nous décomposons l'erreur de couverture en une partie martingale et une partie négligeable, puis nous minimisons la variation quadratique de cette martingale sur une classe de temps d'atteintes générales pour des Deltas vérifiant une certaine EDP non-linéaire sur les dérivées secondes. Nous exhibons aussi une suite de temps d'arrêt atteignant cette borne. Des tests numériques illustrent notre approche par rapport à une série de stratégies connues de la littérature. Le chapitre 5 étend le chapitre 3 en considérant une fonctionnelle des variations discrètes d'ordre Y et de Z de deux processus d'Itô Y et Z à valeurs réelles, la minimisation étant sur une large classe de temps d'arrêt servant au calcul des variations discrètes. Borne inférieure et suite minimisant sont obtenues. Une étude numérique sur les coûts de transaction est faite. Le chapitre 6 étudie la discrétisation d'Euler d'un processus multidimensionnel X dirigé par une semi-martingale d'Itô Y . Nous minimisons sur les temps de la grille de discrétisation un critère quadratique sur l'erreur du schéma. Nous trouvons une borne inférieure et une grille optimale, ne dépendant que des données observables. Le chapitre 7 donne un théorème limite centrale pour des discrétisations d'intégrale stochastique sur des grilles de temps d'atteinte d'ellipsoïdes adaptées quelconque. La corrélation limite est conséquence d'asymptotiques fins sur les problèmes de Dirichlet. Dans le chapitre 8, nous nous intéressons aux formules d'expansion pour les options sur spread, pour des modèles à volatilité locale. La clé de l'approche consiste à conserver la propriété de martingale de la moyenne arithmétique et à exploiter la structure du payoff call. Les tests numériques montrent la pertinence de l'approche.
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McGarry, James Timothy. "On the nature of stopping a voluntary action." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape10/PQDD_0025/NQ38942.pdf.
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Peskir, Goran. "Principles of optimal stopping and free-boundary problems /." Aarhus, Denmark : Univ. of Aarhus, 2001. http://www.gbv.de/dms/goettingen/344144879.pdf.
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Wanntorp, Henrik. "Optimal Stopping and Model Robustness in Mathematical Finance." Doctoral thesis, Uppsala : Department of Mathematics, Uppsala University, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9516.
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Wei, Wei. "Weighted discounting, time inconsistent stopping and their applications." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:03f63ca6-0c75-4fa0-9e85-49a075679734.
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This thesis studies groups whose members disagree about the method of discounting. In particular, we provide a comprehensive treatment of discount functions that are given by the weighted average of the group members' discount functions. This class of "weighted discount functions" admits a natural notion of group diversity, which has consequences for behavior. We show that more diverse groups discount less heavily and make more patient decisions. Within a real options framework, for example, greater group diversity leads to delayed investment. Then, we show that well-known behavioral discount functions can be written as a weighted discount function. Therefore, all results in this thesis find a correspondence in a single agent setting with non-standard, behavioral time preferences. In particular, we provide an equilibrium stopping result for individuals who are aware of their time-inconsistency, but lack commitment. Finally, we propose an example which shows that the Bellman system for the equilibrium stopping problem may not admit any proper solution and illustrate that the non-existence is caused by group diversity or decreasing impatience.
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Rashid, Sabina Yasmin. "Day case laparoscopic cholecystectomy : what's stopping us now?" Thesis, University of Birmingham, 2015. http://etheses.bham.ac.uk//id/eprint/6226/.
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Introduction: Day surgery has many benefits for patients and the NHS, but progress in this area of healthcare has been slow. A high volume procedure, laparoscopic cholecystectomy, was chosen to explore this. The aim of this study was to explore and explain the factors that influence the uptake of day case laparoscopic cholecystectomy at three trusts and the impact of service redesign programmes on day case rates. Methods: A mixed methods collective case study was conducted across three trusts. 34 semi-structured interviews were undertaken and 5 years of hospital activity data was analysed. Results: Day case laparoscopic cholecystectomy rates did increase over a 5 year period at all trusts but to varying degrees. Factors that influenced activity according to qualitative data analysed were grouped into two themes: context and mechanisms. Conclusion: Participants did not believe that the service redesign programmes had any direct impact on their practice. New ambulatory care facilities alone did not lead to increased day case laparoscopic cholecystectomy rates because the trust that performed the most did not have any change to their infrastructure. Clinical attitudes towards performing day case laparoscopic cholecystectomy were variable and may explain the difference in day case rates.
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Dendievel, Rémi. "Sequential stopping under different environments of weak information." Doctoral thesis, Universite Libre de Bruxelles, 2016. https://dipot.ulb.ac.be/dspace/bitstream/2013/239624/4/TOC-these.pdf.
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Notre thèse s’articule autour du thème de l’utilisation optimale de l’information contenue dans un modèle probabiliste flexible. Dans le premier chapitre, nous couvrons des résultats bien connus des martingales comme le théorème de convergence dit L1 des martingales et le théorème d’arrêt. Nous discutons de problèmes ouverts similaires au «last arrival problem» (Bruss et Yor, 2012) qui sont des vrais défis du point de vue théorique et nous ne pouvons que conjecturer la stratégie optimale.Dans les chapitres suivants, nous résolvons des extensions de problèmes d’arrêt optimal proposés par R. R. Weber (U. Cambridge), basés sur le «théorème des odds» (Bruss, 2000). En résumé, il s’agit d’effectuer une seule action (un seul arrêt) lorsque deux suites d’observations indépendantes sont observées simultanément. Nous donnons la solution à ces problèmes pour un nombre (fixé) choisi de processus.Le chapitre suivant passe en revue la plupart des développements récents (depuis 2000) réalisés autour du «théorème des odds» (Bruss, 2000). Le matériel présenté fut publié (2013), il a donc été mis à jour dans cette thèse pour inclure les derniers résultats depuis cette date.Puis nous réservons un chapitre pour une solution explicite pour un cas particulier du Problème d’arrêt optimal de Robbins. Ce chapitre est basé sur un article publié par l’auteur en collaboration avec le professeur Swan (Université de Liège). Ce chapitre offre une belle illustration des difficultés rencontrées lorsque trop d’information sur les variables est contenue dans le modèle. La solution optimale de ce problème dans le cas général n’est pas connue. Par contre, contre-intuitivement, dans le «last arrival problem» mentionné plus haut, moins d’information permet, comme nous le montrons, de trouver en effet la solution optimale.La thèse contient un dernier chapitre sur un problème de nature plus combinatoire que nous pouvons lier à la théorie des graphes dans une certaine mesure. Nous étudions le processus de création d’un graphe aléatoire particulier et les propriétés des cycles créés par celui-ci. Le problème est séquentiel et permet d’envisager des problèmes d’arrêt intéressants. Cette étude a des conséquences en théorie des graphes, en analyse combinatoire ainsi qu’en science de la chimie combinatoire pour les applications. Un de nos résultats est analogue au résultat de Janson (1987) relatif au premier cycle créé pendant la création de graphes aléatoires.Doctorat en Sciences
info:eu-repo/semantics/nonPublished
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Kitapbayev, Yerkin. "Optimal stopping problems with applications to mathematical finance." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/optimal-stopping-problems-with-applications-to-mathematical-finance(6e099f06-f6da-429d-ad92-707883440335).html.
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The main contribution of the present thesis is a solution to finite horizon optimalstopping problems associated with pricing several exotic options, namely the Americanlookback option with fixed strike, the British lookback option with fixed strike,American swing put option and shout put option. We assume the geometric Brownianmotion model and under the Markovian setting we reduce the optimal stoppingproblems to free-boundary problems. The latter we solve by probabilistic argumentswith help of local time-space calculus on curves ([52]) and we characterise optimalexercise boundaries as the unique solution to certain integral equations. Then usingthese optimal stopping boundaries the option price can be obtained. The significance of Chapters 2 and 3 is a development of a method of scaling strikewhich helps to reduce three-dimensional optimal stopping problems, for lookbackoptions with fixed strike, including a maximum process to two-dimensional one withvarying parameter. In Chapter 3 we show a remarkable example where, for somevalues of the set parameters, the optimal exercise surface is discontinuous whichmeans that the three-dimensional problem could not be tackled straightforwardlyusing local time-space calculus on surfaces ([55]). This emphasises another advantageoffered by the reduction method. In Chapter 4 we study the multiple optimal stopping problems with a put payoffassociated to American swing option using local time-space calculus. To our knowledgethis is the first work where a) a sequence of integral equations has been obtainedfor consecutive optimal exercise boundaries and b) the early exercise premium representationhas been derived for swing option price. Chapter 5 deals with the shoutput option which allows the holder to lock the profit at some time τ and then attime T take the maximum between two payoffs at τ and T. The novelty of the workis that it provides a rigorous analysis of the free-boundary problem by probabilisticarguments and derives an integral equation for the optimal shouting boundary alongwith the shouting premium representation for the option price in some cases. Thisapproach can also be applied to other shout and reset options. In Chapter 6 we discuss a problem of the smooth-fit property for the American putoption in an exponential Levy model. In [2] the necessary and sufficient conditionwas obtained for the perpetual case. Recently Lamberton and Mikou [40] coveredalmost all cases for an exponential Levy model with dividends on finite horizon andwe study remaining cases. Firstly, we take the logarithm of the stock price as a Levyprocess of finite variation with zero drift and finitely many jumps, and prove thatone has the smooth-fit property without regularity unlike in the infinite horizon case. Secondly, we provide some analysis and calculations for another case uncovered in[40] where the drift is positive but for all maturities and removing the additionalcondition they used. The result of Chapter 1 is contained in the publication [33] and results of Chapters2-5 are exposed in preprints [34], [17] and [35] that are submitted for publication.
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Oryu, Tadao. "An Excursion-Theoretic Approach to Optimal Stopping Problems." 京都大学 (Kyoto University), 2017. http://hdl.handle.net/2433/225370.
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Schroeder, Matthew E. "Non-lethal foam deployment system for vehicle stopping." Thesis, Kansas State University, 2010. http://hdl.handle.net/2097/4313.
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Master of ScienceDepartment of Chemical Engineering
Larry A. Glasgow
The military is interested in stopping suspicious vehicles at checkpoints or security positions while minimizing noncombatant fatalities. Preliminary work has shown that decreasing the oxygen concentration in proximity to the automobile air intake system and blocking the air flow through an automotive induction system provides the greatest probability of success for the broadest possible array of internal combustion engines. A non-lethal foam deployment system was developed that satisfies the military’s needs to stop suspicious vehicles. The foam is discharged from a pressurized tank and engulfs the air intake system of the target vehicle. The foam is drawn into the air intake and the protein additive contained in the foam would occlude pores in the air filter medium. Once the air filter was blocked, the vehicle would become immobilized so that security personnel can secure the vehicle. The work carried out in this project consisted of development and refinement of surfactant solution composition, improvement in the rate of absorption of carbon dioxide for increased foam volume, and characterization of discharge for optimum foam volume. In addition, a half-scale model apparatus was developed to test the foam’s ability to be ingested in an automotive intake system. These experiments demonstrated that the foam deployment system would stop an automobile within six seconds.
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Rowland, Chloe Margaret. "The experiences of stopping self-harm in adults." Thesis, University of Hull, 2014. http://hydra.hull.ac.uk/resources/hull:10893.
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The portfolio has three parts. Parts one and two are conceptually linked by their focus on self-harm and the cessation of the practice. Part one is a systematic literature review. Each individual’s self-harm experience is unique to them but there has been research that has shown that there are similarities between each experience. The systematic literature review examines the views and experiences of those who practice the behaviour with a view to identifying any similarities and discrepancies. Part two is an empirical paper. The therapies that have been studied for their effect on self-harm behaviours have failed to yield results that show that any one approach is consistent in decreasing the frequency and/or intensity of the behaviour. The empirical paper reports a study that explored the experiences of 8 adults who had previously self-harmed but no longer did so. It was hoped that the themes and any commonalities between the experiences would provide insight into what is poignant for the individuals when stopping the behaviour and that this would contribute to the on-going work helping people to no longer use the behaviour. Part three comprises the appendices.
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Vannestål, Martin. "Optimal timing decisions in financial markets." Doctoral thesis, Uppsala universitet, Matematiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-313266.
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This thesis consists of an introduction and five articles. A common theme in all the articles is optimal timing when acting on a financial market. The main topics are optimal selling of an asset, optimal exercising of an American option, optimal stopping games and optimal strategies in trend following trading. In all the articles, we consider a financial market different from the standard Black-Scholes market. In two of the articles this difference consists in allowing for jumps of the underlying process. In the other three, the difference is that we have incomplete information about the drift of the underlying process. This is a natural assumption in many situations, including the case of a true buyer of an American option, trading in a market which exhibits trends, and optimal liquidation of an asset in the presence of a bubble. These examples are all addressed in this thesis.
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Bickel, David 1970. "The Stopping Power of Amorphous and Channelled Silicon at All Energies as Computed with the Binary Encounter Approximation." Thesis, University of North Texas, 1994. https://digital.library.unt.edu/ark:/67531/metadc279387/.
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This thesis utilizes the binary encounter approximation to calculate the stopping power of protons penetrating silicon. The main goal of the research was to make predictions of the stopping power of silicon for low-energy and medium-energy channelled protons, in the hope that this will motivate experiments to test the theory developed below. In attaining this goal, different stopping power theories were compared and the binary encounter approach was applied to random (non-channelled) and high-energy channelled protons in silicon, and these results were compared with experimental data.
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Vannestål, Martin. "Optimal stopping and the American put under incomplete information." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-158201.
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Christensen, Sören [Verfasser]. "Contributions to the theory of optimal stopping / Sören Christensen." Kiel : Universitätsbibliothek Kiel, 2010. http://d-nb.info/1020001488/34.
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Zhai, Fengqin. "New stopping criteria and error detection in turbo decoding." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/MQ60517.pdf.
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Trimble, Meridee J. "U.S. policy options toward stopping North Korea's illicit activities." Monterey, Calif. : Naval Postgraduate School, 2007. http://bosun.nps.edu/uhtbin/hyperion-image.exe/07Dec%5FTrimble.pdf.
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Thesis (M.A. in National Security Affairs)--Naval Postgraduate School, December 2007.Thesis Advisor(s): Olsen, Edward A. "December 2007." Description based on title screen as viewed on January 24, 2008. Includes bibliographical references (p. 69-77). Also available in print.
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Ellermann, Caroline Rae. "Starting and stopping: Adolescents' decision-making about drug use." Diss., The University of Arizona, 2001. http://hdl.handle.net/10150/279865.
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Use of alcohol, tobacco and other addictive drugs (ATD) is a well-recognized public health concern and one of society's greatest problems. Evidence indicates that some youth begin and end drug use during adolescence. A grounded theory methodology was used to explore adolescents' views of their experience of beginning and ending ATD use. A Basic Social Psychological Process, Starting and Stopping, was identified from 12 interviews. Informants were age 14 to 18, had tried drugs at least 6 times and abstained for at least 6 months. Decision making about drug use was described. Three stages of use that led to decision points were found. If adolescents did not stop use during the beginning stage, Exploratory Use, the adolescents had the potential to progress through two additional stages of use, Purposeful Use and Intentional Use. The intensity of use increased with each stage. Each stage had identifiable triggers and barriers that had the potential to influence continued ATD use. Curiosity was a strong stimulus for beginning drug use and then exploring never-used-before drugs. An intervening dramatic event moved adolescents more quickly toward stopping. Future orientation was present as informants stopped drug use. Decisional points were characterized by the integration of what adolescents felt were benefits of use (friend relationships, liking the experience, learning about drugs, getting relief from perceived problems) and barriers to continued use (no continued interest, not liking the experience, goals obtained, effect on relationships, effect on future, dramatic event). A Basic Social Structural Process was beginning to emerge. The structural process included drug availability, peer drug use and societal environment. The theory of adolescent decision-making about ATD use provides an opportunity for health professionals to better understand adolescent drug use.
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Siska, David. "Numerical approximations of stochastic optimal stopping and control problems." Thesis, University of Edinburgh, 2007. http://hdl.handle.net/1842/2571.
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We study numerical approximations for the payoff function of the stochastic optimal stopping and control problem. It is known that the payoff function of the optimal stopping and control problem corresponds to the solution of a normalized Bellman PDE. The principal aim of this thesis is to study the rate at which finite difference approximations, derived from the normalized Bellman PDE, converge to the payoff function of the optimal stopping and control problem. We do this by extending results of N.V. Krylov from the Bellman equation to the normalized Bellman equation. To our best knowledge, until recently, no results about the rate of convergence of finite difference approximations to Bellman equations have been known. A major breakthrough has been made by N. V. Krylov. He proved rate of rate of convergence of tau 1/4 + h 1/2 where tau and h are the step sizes in time and space respectively. We will use the known idea of randomized stopping to give a direct proof showing that optimal stopping and control problems can be rewritten as pure optimal control problems by introducing a new control parameter and by allowing the reward and discounting functions to be unbounded in the control parameter. We extend important results of N. V. Krylov on the numerical solutions to the Bellman equations to the normalized Bellman equations associated with the optimal stopping of controlled diffusion processes. We obtain the same rate of convergence of tau1/4 + h1/2. This rate of convergence holds for finite difference schemes defined on a grid on the whole space [0, T]×Rd i.e. on a grid with infinitely many elements. This leads to the study of localization error, which arises when restricting the finite difference approximations to a cylindrical domain. As an application of our results, we consider an optimal stopping problem from mathematical finance: the pricing of American put option on multiple assets. We prove the rate of convergence of tau1/4 + h1/2 for the finite difference approximations.
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Tien, Chih-Yuan. "Mixed stopping times and American options under transaction costs." Thesis, University of York, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547377.
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Zhou, Wei, and 周硙. "Topics in optimal stopping with applications in mathematical finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B46582046.
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Peltola, Jarkko. "Stopping power for ions and clusters in crystalline solids." Helsinki : University of Helsinki, 2003. http://ethesis.helsinki.fi/julkaisut/mat/fysik/vk/peltola/.
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Trimble, Meridee Jean. "U.S. policy options toward stopping North Korea's illicit activities." Thesis, Monterey, California. Naval Postgraduate School, 2007. http://hdl.handle.net/10945/3037.
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North Korea began its involvement in illicit activities in the 1970s, but it took the United States until the new millennium to develop a series of major law enforcement approaches to counter these activities. North Korea's illicit activities are purportedly the funding input for the development of its nuclear weapons program, which constitutes the output. The main illicit activities to be discussed include drug production and trafficking, the counterfeiting of U.S. currency, cigarettes and pharmaceuticals, missile sales and human trafficking. The United States has aggressively addressed the nuclear threat that North Korea poses, but has been slow to address the inputs that fund the outputs. This thesis seeks to answer the question of why it took the United States over three decades to address the illicit activities of North Korea that purportedly fund its nuclear program.US Air Force (USAF) author.
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Mouffe, Mélodie. "Multilevel optimization in infinity norm and associated stopping criteria." Thesis, Toulouse, INPT, 2009. http://www.theses.fr/2009INPT011G/document.
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Cette thèse se concentre sur l'étude d'un algorithme multi niveaux de régions de confiance en norme infinie, conçu pour la résolution de problèmes d'optimisation non linéaires de grande taille pouvant être soumis a des contraintes de bornes. L'étude est réalisée tant sur le plan théorique que numérique. L'algorithme RMTR8 que nous étudions ici a été élaboré a partir de l'algorithme présente par Gratton, Sartenaer et Toint (2008b), et modifie d'abord en remplaçant l'usage de la norme Euclidienne par une norme infinie, et ensuite en l'adaptant a la résolution de problèmes de minimisation soumis a des contraintes de bornes. Dans un premier temps, les spécificités du nouvel algorithme sont exposées et discutées. De plus, l'algorithme est démontré globalement convergent au sens de Conn, Gould et Toint (2000), c'est-a-dire convergent vers un minimum local au départ de tout point admissible. D'autre part, il est démontre que la propriété d'identification des contraintes actives des méthodes de régions de confiance basées sur l'utilisation d'un point de Cauchy peut être étendue a tout solveur interne respectant une décroissance suffisante. En conséquence, cette propriété d'identification est aussi respectée par une variante particulière du nouvel algorithme. Par la suite, nous étudions différents critères d'arrêt pour les algorithmes d'optimisation avec contraintes de bornes afin de déterminer le sens et les avantages de chacun, et ce pour pouvoir choisir aisément celui qui convient le mieux a certaines situations. En particulier, les critères d'arrêts sont analyses en termes d'erreur inverse (backward erreur), tant au sens classique du terme (avec l'usage d'une norme produit) que du point de vue de l'optimisation multicritères. Enfin, un algorithme pratique est mis en place, utilisant en particulier une technique similaire au lissage de Gauss-Seidel comme solveur interne. Des expérimentations numériques sont réalisées sur une version FORTRAN 95 de l'algorithme. Elles permettent d'une part de définir un panel de paramètres efficaces par défaut et, d'autre part, de comparer le nouvel algorithme a d'autres algorithmes classiques d'optimisation, comme la technique de raffinement de maillage ou la méthode du gradient conjugue, sur des problèmes avec et sans contraintes de bornes. Ces comparaisons numériques semblent donner l'avantage à l'algorithme multi niveaux, en particulier sur les cas peu non-linéaires, comportement attendu de la part d'un algorithme inspire des techniques multi grilles. En conclusion, l'algorithme de région de confiance multi niveaux présente dans cette thèse est une amélioration du précédent algorithme de cette classe d'une part par l'usage de la norme infinie et d'autre part grâce a son traitement de possibles contraintes de bornes. Il est analyse tant sur le plan de la convergence que de son comportement vis-à-vis des bornes, ou encore de la définition de son critère d'arrêt. Il montre en outre un comportement numérique prometteurThis thesis concerns the study of a multilevel trust-region algorithm in infinity norm, designed for the solution of nonlinear optimization problems of high size, possibly submitted to bound constraints. The study looks at both theoretical and numerical sides. The multilevel algorithm RMTR8 that we study has been developed on the basis of the algorithm created by Gratton, Sartenaer and Toint (2008b), which was modified first by replacing the use of the Euclidean norm by the infinity norm and also by adapting it to solve bound-constrained problems. In a first part, the main features of the new algorithm are exposed and discussed. The algorithm is then proved globally convergent in the sense of Conn, Gould and Toint (2000), which means that it converges to a local minimum when starting from any feasible point. Moreover, it is shown that the active constraints identification property of the trust-region methods based on the use of a Cauchy step can be extended to any internal solver that satisfies a sufficient decrease property. As a consequence, this identification property also holds for a specific variant of our new algorithm. Later, we study several stopping criteria for nonlinear bound-constrained algorithms, in order to determine their meaning and their advantages from specific points of view, and such that we can choose easily the one that suits best specific situations. In particular, the stopping criteria are examined in terms of backward error analysis, which has to be understood both in the usual meaning (using a product norm) and in a multicriteria optimization framework. In the end, a practical algorithm is set on, that uses a Gauss-Seidel-like smoothing technique as an internal solver. Numerical tests are run on a FORTRAN 95 version of the algorithm in order to define a set of efficient default parameters for our method, as well as to compare the algorithm with other classical algorithms like the mesh refinement technique and the conjugate gradient method, on both unconstrained and bound-constrained problems. These comparisons seem to give the advantage to the designed multilevel algorithm, particularly on nearly quadratic problems, which is the behavior expected from an algorithm inspired by multigrid techniques. In conclusion, the multilevel trust-region algorithm presented in this thesis is an improvement of the previous algorithm of this kind because of the use of the infinity norm as well as because of its handling of bound constraints. Its convergence, its behavior concerning the bounds and the definition of its stopping criteria are studied. Moreover, it shows a promising numerical behavior
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Sexton, Jennifer. "Optimal stopping and control problems using the Legendre transform." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/optimal-stopping-and-control-problems-using-the-legendre-transform(aa3ce911-2a1d-4d48-8096-367706c798c9).html.
Full textAbstract:
This thesis addresses some aspects of the connection between convex analysis andoptimal stopping and control problems. The first chapter contains a summary of theoriginal contributions made in subsequent chapters. The second chapter uses elementary tools from convex analysis to establish anextension of the Legendre transformation. These results complement the results in[66] and are used to provide an alternative proof that Nash equilibria exist in optimalstopping games driven by diffusions. In the third chapter a ‘maximum principle’ for singular stochastic control is es-tablished using methods from convex analysis which is a generalisation of the firstorder conditions derived in [18]. This ‘maximum principle’ is used to show that thesolution to certain singular stochastic control problems can be expressed in termsof a family of associated optimal stopping problems. These results connect the firstorder conditions in [3] and the representation result originating in [5] to variationalanalysis. In particular, the Legendre transform is used to derive first order conditionsfor a class of constrained optimisation problems. Sections 2.1-2.4 and Example 30 have been accepted for publication to the ‘Journalof Convex Analysis’ as [75] subject to minor corrections. The suggested revision hasbeen implemented in this thesis.