4 citations · 7 across the 7 of their papers we have counts for
8 papers
Optimal stopping for Markov processes with positive jumps
Fabian Crocce, Ernesto Mordecki
Consider the discounted optimal stopping problem for a real valued Markov process with only positive jumps. We provide a theorem to verify that the optimal stopping region has the…
An algorithm to solve optimal stopping problems for one-dimensional diffusions
Fabián Crocce, Ernesto Mordecki
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding…
A non-iterative algorithm for generalized Pig games
Fabián Crocce, Ernesto Mordecki
We provide a polynomial algorithm to find the value and an optimal strategy for a generalization of the Pig game. Modeled as a competitive Markov decision process, the correspondin…
On optimal stopping of multidimensional diffusions
Sören Christensen, Fabián Crocce, Ernesto Mordecki +1
This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the -dimensional Wiener proc…
Optimal Stopping for Strong Markov Processes: Explicit solutions and verification theorems for diffusions, multidimensional diffusions, and jump-processes
Fabián Crocce
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected rewar…
A finite exact algorithm to solve a dice game
Fabián Crocce, Ernesto Mordecki
We provide an algorithm to find the value and an optimal strategy of the solitaire variant of the Ten Thousand dice game in the framework of Markov Control Processes. Once an optim…
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
Fabián Crocce, Ernesto Mordecki
Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of th…
Optimal minimax strategy in a dice game
Fabian Crocce, Ernesto Mordecki
Each of two players, by turns, rolls a dice several times accumulating the successive scores until he decides to stop, or he rolls an ace. When stopping, the accumulated turn score…