4 citations · 7 across the 7 of their papers we have counts for
7 papers · 1 filter
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…
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…