Department of Mathematics

Facundo Oliú, University of the Republic Uruguay: "Averaging function for two sided optimal stopping problems"

Dec 19, 2019 from 10:15 AM to 11:45 AM

Abstract:
Along with conventional problems of statistics and probability, the investigation of problems ocurring in what now is referred to as stochastic  theory of  optimal  control also started in the 1940s and 1950s .  One of the aspects of this theory is the theory of optimal stopping rules that in contrast to the classical analysis the number of observations is not fixed in advance but the time at which the observations are terminated is random and is defined by the observer.  The observer starts at a point x and must choose when to stop and get a reward g(x). The problems which g has support on the positive halfline and the process have supremum and infimum with density are mostly resolved. So, in this talk I will talk about my results when this is not the case.

 

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