Related papers: On randomized stopping
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…
The ability to manipulate and control fluid flows is of great importance in many scientific and engineering applications. Here, a cluster-based control framework is proposed to determine optimal control laws with respect to a cost function…
We consider a control-constrained parabolic optimal control problem without Tikhonov term in the tracking functional. For the numerical treatment, we use variational discretization of its Tikhonov regularization: For the state and the…
In this article we investigate an inexact iterative regularization method based on generalized Bregman distances of an optimal control problem with control constraints. We show robustness and convergence of the inexact Bregman method under…
Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We design the controls of physical systems that are faced by uncertainties. The system dynamics are described by random hyperbolic balance laws. The control aims to steer the system to a desired state under uncertainties. We propose a…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
This work unifies the analysis of various randomized methods for solving linear and nonlinear inverse problems by framing the problem in a stochastic optimization setting. By doing so, we show that many randomized methods are variants of a…
The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy…
This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the $d$-dimensional Wiener process. We first obtain some verification theorems for…
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
We apply the stochastic Perron method of Bayraktar and S\^irbu to a general infinite horizon optimal control problem, where the state $X$ is a controlled diffusion process, and the state constraint is described by a closed set. We prove…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
In the paper average reward per unit time and average risk sensitive reward functionals are considered for controlled nonhomogeneous Markov processes. Existence of solutions to suitable Bellman equations is shown. Continuity of the value…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…