Displaying similar documents to “Approximation of the Snell Envelope and American Options Prices in dimension one”

A good approximation of the inventory level in a (Q, r) perishable inventory system

Huan Neng Chiu (2010)

RAIRO - Operations Research

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This paper derives a good approach to approximating the expected inventory level per unit time for the continuous review (Q, r) perishable inventory system. Three existing approximation approaches are examined and compared with the proposed approach. Three stockout cases, including the full backorder, the partial backorder, and the full lost sales cases, which customers or material users generally use to respond to a stockout condition are considered. This study reveals the fact...

On approximation with nodes

S. Paszkowski

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CONTENTSIntroduction1. Approximation with nodes............................................................................................. 32. Characteristic property of the optimal polynomial......................................................... 43. Notation......................................................................................................................... 5CHAPTER I. Limit properties of approximation with nodes4. Statement of the problem.................................................................................................

Optimal investment under behavioural criteria - a dual approach

Miklós Rásonyi, José G. Rodríguez-Villarreal (2015)

Banach Center Publications

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We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in Carassus-Rásonyi (2015) under certain conditions on the parameters of these power functions. In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones in Rásonyi-Rodrigues...

Convergence of optimal strategies in a discrete time market with finite horizon

Rafał Kucharski (2006)

Applicationes Mathematicae

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A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.

Remarks on best approximation in R-trees

William Kirk, Bancha Panyanak (2009)

Annales UMCS, Mathematica

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An R-tree is a geodesic space for which there is a unique arc joining any two of its points, and this arc is a metric segment. If X is a closed convex subset of an R-tree Y, and if T: X → 2Y is a multivalued mapping, then a point z for which [...] is called a point of best approximation. It is shown here that if T is an ε-semicontinuous mapping whose values are nonempty closed convex subsets of Y, and if T has at least two distinct points of best approximation, then T must have a fixed...