دانلود مقالات ISI درباره 60G40 + ترجمه فارسی

An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options

Keywords: 60G40; 35K70; 65M60; 91B28Optimal stopping; Ultraparabolic equations; Discontinuous Galerkin method; Extrapolation; Asian options

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2011 سفارش ترجمه

The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process

Keywords: 60J99; 60G40; 91B70Stochastic games; Optimal stopping; Pasting principles; Fluctuation theory; Lévy processes

دانلود رایگان متن کامل مقاله ISI 24 صفحه سال انتشار : 2011 سفارش ترجمه

Gluing and coupling

Keywords: 60G40; 60G46; Martingale; Coupling; Stopping time;

دانلود رایگان متن کامل مقاله ISI 4 صفحه سال انتشار : 2010 سفارش ترجمه

Locally most powerful sequential tests of a simple hypothesis vs. one-sided alternatives

Keywords: Dependent observations; Discrete-time stochastic process; Optimal sequential test; Sequential analysis; Sequential hypothesis testing; Locally most powerful test62L10; 62L15; 60G40; 62C10

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2010 سفارش ترجمه

Switching problem and related system of reflected backward SDEs

Keywords: 60G40; 93E20; 62P20; 91B99Real options; Starting and stopping problem; Switching problem; Backward SDEs; Reflected BSDEs; Oblique reflection; Snell envelope; Optimal stopping problem

دانلود رایگان متن کامل مقاله ISI 24 صفحه سال انتشار : 2010 سفارش ترجمه

ππ options

Keywords: 60G40; 60H30; 49J10; 49K10; 93E20Optimal stopping; Running maximum process; Variational inequality; Two dimensional free-boundary problem; Separatrix

دانلود رایگان متن کامل مقاله ISI 27 صفحه سال انتشار : 2010 سفارش ترجمه

On the gambler’s ruin problem for a finite Markov chain

Keywords: 60G40; 60J10; 60J60; 60J80

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2009 سفارش ترجمه

Some Darling–Siegert relationships connected with random flights

Keywords: 60G40; 60G50

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2009 سفارش ترجمه

A PDE approach to regularity of solutions to finite horizon optimal switching problems

Keywords: 60G40; 93E20; 62P20; 91B99Real options; Security design; Backward stochastic differential equation; Default risk; Snell envelope; Stopping time; Stopping and starting; Optimal switching; Viscosity solution of PDEs; Variational inequalities

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2009 سفارش ترجمه

Truncated sequential change-point detection based on renewal counting processes II

Keywords: primary 62G10;; 62G20; 62G32; 62L10; secondary 60F17;; 60G40; 60G70; 60J65; 60K05; Change-point; Training period; Extreme value asymptotics; First passage time; Increments; Renewal counting process; Sequential test; Stopping time; Strong approximation; Wi

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2009 سفارش ترجمه

A canonical setting and separating times for continuous local martingales

Keywords: 60G44; 60G48; 60G30; 60G40; 60J65; 60H10Continuous local martingales; Brownian motion; Dambis–Dubins–Schwarz theorem; Canonical setting; Pure continuous local martingales; Absolute continuity and singularity; Separating times

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2009 سفارش ترجمه

A simulation approach to optimal stopping under partial information

Keywords: 60G35; 60G40; 93E35Optimal stopping; Nonlinear filtering; Particle filters; Snell envelope; Regression Monte Carlo

دانلود رایگان متن کامل مقاله ISI 27 صفحه سال انتشار : 2009 سفارش ترجمه

Optimal stopping with irregular reward functions

Keywords: 60G40; 60J60; 60H10Optimal stopping; One-dimensional diffusions; Irregular reward functions

دانلود رایگان متن کامل مقاله ISI 32 صفحه سال انتشار : 2009 سفارش ترجمه

BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game

Keywords: 91A15; 91B74; 60G40; 91A60Backward stochastic differential equation; Penalization; Mokobodski’s hypothesis; Snell envelope; Zero-sum mixed differential–integral game

دانلود رایگان متن کامل مقاله ISI 32 صفحه سال انتشار : 2009 سفارش ترجمه

Hájek-Inagaki representation theorem, under a general stochastic processes framework, based on stopping times

Keywords: primary; 62F10; 62F12; secondary; 62E20; 62M09; 60G40;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2008 سفارش ترجمه

Minimax optimality of the Shiryayev-Roberts change-point detection rule

Keywords: 62L15; 60G40; Change-point; Sequential detection; Minimax optimality;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2008 سفارش ترجمه

First exit time probability for multidimensional diffusions: A PDE-based approach

Keywords: 60G40; 60J60; 65M60First exit time; Multidimensional diffusion; Finite element method

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2008 سفارش ترجمه

An irregular grid approach for pricing high-dimensional American options

Keywords: 35R35; 60G40; 65D15; 90C33American options; High-dimensional problems; Free boundary problems; Optimal stopping; Variational inequalities; Numerical methods; Unstructured mesh; Markov chain approximation

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2008 سفارش ترجمه

The optional sampling theorem for submartingales in the sequentially planned context

Keywords: 62L10; 60G40; Sampling plan; Sequentially planned; Optional sampling;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2007 سفارش ترجمه

A note on absorption probabilities in one-dimensional random walk via complex-valued martingales

Keywords: 60G40; 60G42; 60G50; Random walks; Martingales; Optional stopping theorem; Absorption probabilities;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2007 سفارش ترجمه

Bayes optimal sequential trial designs

Keywords: 62L05; 62L15; 60G40; Bayes sequential decision procedure; Brownian motion; Repeated significance test; Sequential analysis;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2007 سفارش ترجمه

Normal order statistics and sums of geometric random variables in treatment allocation problems

Keywords: primary, 60E05; secondary, 60C05; 60G40; 62E20; 62G30; 62P10Antiranks; Balanced randomization; Multinomial trials; Occupancy problem; Probability generating function; Spacings

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2007 سفارش ترجمه

On Gittins’ index theorem in continuous time

Keywords: 60G07; 60G40; 60H25; 91B16; 91B28Gittins index; Multi-armed bandits; Representation theorem

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2007 سفارش ترجمه

Non-parametric inference for balanced randomization designs

Keywords: Primary 60E05; secondary 60C05; 60G40; 62E20; 62G30; 62P10; 62P15; Accidental bias; Clinical trials; Load balancing; Multinomial trials; Normal order statistics; Permutation tests; Probability generating function; Selection bias; Stirling's numbers;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2007 سفارش ترجمه

An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

Keywords: 60G40; 60G44Skorokhod embedding problem; Excursion theory; Functional of excursion; Azéma–Yor stopping time; Vallois stopping time; Azéma martingale; Age process; Bessel process; Cox–Ingersoll–Ross process

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2007 سفارش ترجمه

An optimal stopping problem in a diffusion-type model with delay

Keywords: 60G40; 35R35; 91B70; secondary 60J25; 60J60; 60G44Optimal stopping; Stochastic delay differential equation; Diffusion process; Sufficient statistic; Free-boundary problem; Smooth fit; Girsanov's theorem; Itô's formula

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2006 سفارش ترجمه

The Wiener disorder problem with finite horizon

Keywords: primary; 60G40; 35R35; 45G10; secondary; 62C10; 62L15; 62M20Disorder problem; Wiener process; Optimal stopping; Finite horizon; Parabolic free-boundary problem; A nonlinear Volterra integral equation of the second kind; Curved boundary; A change-of-variab

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2006 سفارش ترجمه

Stepwise mutation likelihood computation by sequential importance sampling in subdivided population models

Keywords: 60G40; 93E25; 92D25; Coalescent process; Importance sampling; Migration; Stepwise mutation;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2005 سفارش ترجمه

A non-linear Riesz respresentation in probabilistic potential theory

Keywords: 60J45; 60G40;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2005 سفارش ترجمه

Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries

Keywords: 60G17; 60G40; Compound Poisson processes; Stopping times; Linear boundaries; CPP; Compound Poisson processes; C.d.f.; Cumulative distribution function; I.i.d.; Independent identically distributed; G/M; General compound renewal process with exponential jum

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2005 سفارش ترجمه

On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

Keywords: 60G44; 60G40; 60G51; secondary 33C05; 91B70; Generalized Ornstein-Uhlenbeck process; Stable process; First passage time; Martingales; Special functions; Term structure; Path dependent options;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2005 سفارش ترجمه

Simulation of stopped diffusions

Keywords: 02.50.Ey; 02.60.Cb; 02.70.Lq; 07.05.Tp; 35J25; 60G40; 60H10; 65C05; Stopped diffusions; Stochastic differential equations; Weak approximation; Dirichlet problems; Monte-Carlo simulations;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2005 سفارش ترجمه

Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

Keywords: 60G40; 60H99; 91A15; Backward SDEs; Reflecting barriers; Risk-sensitive zero-sum stopping game;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2005 سفارش ترجمه

Optimal partially reversible investment with entry decision and general production function

Keywords: 93E20; 60G40; 91B28; Singular stochastic control; Optimal stopping; Viscosity solutions; Skorohod problem; Reversible investment; Production;

دانلود رایگان متن کامل مقاله ISI 32 صفحه سال انتشار : 2005 سفارش ترجمه