Bellman equationA Bellman equation, named after Richard E. Bellman, is a necessary condition for optimality associated with the mathematical optimization method known as dynamic programming. It writes the "value" of a decision problem at a certain point in time in terms of the payoff from some initial choices and the "value" of the remaining decision problem that results from those initial choices. This breaks a dynamic optimization problem into a sequence of simpler subproblems, as Bellman's “principle of optimality" prescribes.
ActualisationL'actualisation est l'application de taux, dits taux d'actualisation, à des flux financiers non directement comparables et portant sur des durées différentes, afin de les comparer ou combiner de diverses façons. Elle apporte de la méthode dans le choix des investissements et peut intégrer l'évolution de la valeur de l'argent. Les méthodes d'actualisation doivent prendre en considération deux facteurs humains déterminant la valeur temps de l'argent : la préférence pour la jouissance immédiate et l'aversion au risque.
Discounted cash flowThe discounted cash flow (DCF) analysis, in finance, is a method used to value a security, project, company, or asset, that incorporates the time value of money. Discounted cash flow analysis is widely used in investment finance, real estate development, corporate financial management, and patent valuation. Used in industry as early as the 1700s or 1800s, it was widely discussed in financial economics in the 1960s, and U.S. courts began employing the concept in the 1980s and 1990s.
Valuation using discounted cash flowsValuation using discounted cash flows (DCF valuation) is a method of estimating the current value of a company based on projected future cash flows adjusted for the time value of money. The cash flows are made up of those within the “explicit” forecast period, together with a continuing or terminal value that represents the cash flow stream after the forecast period. In several contexts, DCF valuation is referred to as the "income approach".
Optimal stoppingIn mathematics, the theory of optimal stopping or early stopping is concerned with the problem of choosing a time to take a particular action, in order to maximise an expected reward or minimise an expected cost. Optimal stopping problems can be found in areas of statistics, economics, and mathematical finance (related to the pricing of American options). A key example of an optimal stopping problem is the secretary problem. Optimal stopping problems can often be written in the form of a Bellman equation, and are therefore often solved using dynamic programming.
Processus de décision markovienEn théorie de la décision et de la théorie des probabilités, un processus de décision markovien (en anglais Markov decision process, MDP) est un modèle stochastique où un agent prend des décisions et où les résultats de ses actions sont aléatoires. Les MDPs sont utilisés pour étudier des problèmes d'optimisation à l'aide d'algorithmes de programmation dynamique ou d'apprentissage par renforcement. Les MDPs sont connus depuis les années 1950. Une grande contribution provient du travail de Ronald A.
Hyperbolic discountingIn economics, hyperbolic discounting is a time-inconsistent model of delay discounting. It is one of the cornerstones of behavioral economics and its brain-basis is actively being studied by neuroeconomics researchers. According to the discounted utility approach, intertemporal choices are no different from other choices, except that some consequences are delayed and hence must be anticipated and discounted (i.e., reweighted to take into account the delay). Given two similar rewards, humans show a preference for one that arrives sooner rather than later.
