第19回デリバティブ研究部会セミナー

投稿日: 2023/07/10 21:08

日時：４月２８日（金曜）18:30-20:00

場所：立命館大学東京キャンパス(東京駅日本橋駅口徒歩１分サピアタワー８F）&zoom (いずれの場合でも事前登録が必要です）

講師：Kexin Chen (Hong Kong polytechnic university)

題目：Optimal Stopping: Exploring Diverse Perspectives on Decision-Making Processes

概要：Optimal stopping is a fundamental concept in dynamic optimization, with applications in a wide range of fields including economics, statistics, and finance. Some common examples include determining the optimal exercise timing of options, deciding when to stop searching, and solving the quickest detection problem. In the context of Markovian frameworks, one approach to solving optimal stopping problems is to identify the stopping region, which allows us to determine optimal stopping times as the first hitting times of the stopping region. This talk will provide an overview of optimal stopping problems and their applications, with a focus on recent investigations that offer new perspectives on decision-making processes. We will explore optimal retirement planning with incomplete information, consumption habit under ambiguity, and optimal business expansion under uncertainty. Our first two topics illustrate how the challenges of identifying optimal stopping regions in complex market environments, such as incomplete observations and modeling ambiguity, can be overcome using novel duality approaches. The third topic proposes a novel type optimal stopping problem for deciding when to release constraints in optimization, with opportunity cost. By considering these diverse perspectives, we can gain a deeper understanding of how to optimize decision-making processes in various contexts.