125,428 research outputs found
An improved version of a theorem concerning finite row-column exchangeable arrays
No full textsummary:We improve a result of Bassan and Scarsini (1998) concerning necessary conditions for finite and infinite extendibility of a finite row-column exchangeable array, and provide a simpler proof for the result
Finite row-column exchangeable arrays
No full textsummary:We generalize well known results about the extendibility of finite exchangeable sequences and provide necessary conditions for finite and infinite extendibility of a finite row-column exchangeable array. These conditions depend in a simple way on the correlation matrix of the array
MIXED OPTIMAL STOPPING AND STOCHASTIC CONTROL PROBLEMS WITH SEMICONTINUOUS FINAL REWARD FOR DIFFUSION PROCESSES
No full textWe consider mixed control problems for diffusion processes, i.e. problems which involve both optimal control and
stopping. The running reward is assumed to be smooth, but the stopping reward need only be semicontinuous.
We show that, under suitable conditions, the value function w has the same regularity as the final reward g, i.e. w is
lower or upper semicontinuous if g is. Furthermore, when g is l.s.c., we prove that the value function is a viscosity
solution of the associated variational inequality
On the comparison of the distribution of the supremum of random fields represented by stochastic integrals
No full text
MIXED OPTIMAL STOPPING AND STOCHASTIC CONTROL PROBLEMS WITH SEMICONTINUOUS FINAL REWARD FOR DIFFUSION PROCESSES
No full textWe consider mixed control problems for diffusion processes, i.e. problems which involve both optimal control and
stopping. The running reward is assumed to be smooth, but the stopping reward need only be semicontinuous.
We show that, under suitable conditions, the value function w has the same regularity as the final reward g, i.e. w is
lower or upper semicontinuous if g is. Furthermore, when g is l.s.c., we prove that the value function is a viscosity
solution of the associated variational inequality
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