Search Results - subject:"Poisson Process"

Risk and uncertainty in the patent race : a probabilistic model

Cerqueti, Roy; Ventura, Marco - In: IMA journal of management mathematics 26 (2015) 1, pp. 39-62

Persistent link: https://www.econbiz.de/10011376994

Markov perfect equilibria in stochastic revision games

Lovo, Stefano M.; Tomala, Tristan - 2015

We introduce the model of Stochastic Revision Games where a finite set of players control a state variable and receive payoffs as a function of the state at a terminal deadline. There is a Poisson clock which dictates when players are called to choose of revise their actions. This paper studies...

Persistent link: https://www.econbiz.de/10011327174

Computation of Greeks for jump-diffusion models

Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30

Persistent link: https://www.econbiz.de/10011403918

An adaptive CUSUM chart for monitoring poisson rates with increasing population sizes

Zhao, Honghao; Shu, Lianjie; Jiang, Wei; Tsui, Kwok-Leung - In: European journal of industrial engineering : EJIE 9 (2015) 5, pp. 692-715

Persistent link: https://www.econbiz.de/10011560998

Negatively Correlated Bandits

Klein, Nicolas; Rady, Sven - 2008

We analyze a two-player game of strategic experimentation with two-armed bandits. Each player has to decide in continuous time whether to use a safe arm with a known payoff or a risky arm whose likelihood of delivering payoffs is initially unknown. The quality of the risky arms is perfectly...

Persistent link: https://www.econbiz.de/10010333936

Negatively Correlated Bandits

Klein, Nicolas; Rady, Sven - 2008

Persistent link: https://www.econbiz.de/10010427535

The Optimal Stopping Problem of Dupuis and Wang: A Generalization

Lempa, Jukka - 2008

jump times of an independent Poisson process. In [7], the authors solve this problem in the case where the underlying is a …

Persistent link: https://www.econbiz.de/10012502990

The Optimal Stopping Problem of Dupuis and Wang: A Generalization

Lempa, Jukka - Turun Kauppakorkeakoulu, Turun Yliopisto - 2008

jump times of an independent Poisson process. In [7], the authors solve this problem in the case where the underlying is a …

Persistent link: https://www.econbiz.de/10005537236

Recovery Process Model

Itoh, Yuki - Graduate School of Economics, Hitotsubashi University - 2008

process by a homogeneous compound Poisson process and extend our model to an inhomogeneous compound Poisson process. Interest … methods of calculating the transition density of an inhomogeneous compound Poisson process is necessary for calculating the … methods. Therefore we propose the new procedure for calculating it by a piecewise homogeneous compound Poisson process. …

Persistent link: https://www.econbiz.de/10004992570

Negatively Correlated Bandits

Klein, Nicolas; Rady, Sven - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10005649778