Related papers: On randomized stopping
Bertrand et al. introduced a model of parameterised systems, where each agent is represented by a finite state system, and studied the following control problem: for any number of agents, does there exist a controller able to bring all…
We study an optimal stopping problem when the state process is governed by a general Feller process. In particular, we examine viscosity properties of the associated value function with no a priori assumption on the stochastic differential…
A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
This article proposes a highly accurate and conservative method for hyperbolic systems using the finite volume approach. This innovative scheme constructs the intermediate states at the interfaces of the control volumes using the method of…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
In recent papers it has been suggested that human locomotion may be modeled as an inverse optimal control problem. In this paradigm, the trajectories are assumed to be solutions of an optimal control problem that has to be determined. We…
We consider a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…
In this paper we present a new verification theorem for optimal stopping problems for Hunt processes. The approach is based on the Fukushima-Dynkin formula, and its advantage is that it allows us to verify that a given function is the value…
We present the stability analysis for the new regulation-triggered approach to adaptive control introduced in a companion paper. Due to the fact that the closed-loop system is hybrid, our proofs have essential differences from the…
A method based on deep artificial neural networks and empirical risk minimization is developed to calculate the boundary separating the stopping and continuation regions in optimal stopping. The algorithm parameterizes the stopping boundary…
We extend the classical setting of an optimal stopping problem under full information to include for problems with an unknown state. The framework allows the unknown state to influence (i) the drift of the underlying process, (ii) the…
This paper presents a novel approach to generating stabilizing controllers for a large class of dynamical systems using diffusion models. The core objective is to develop stabilizing control functions by identifying the closest…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
Response-adaptive randomization has recently attracted a lot of attention in the literature. In this paper, we propose a new and simple family of response-adaptive randomization procedures that attain the Cramer--Rao lower bounds on the…
In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We consider mean-field control problems in discrete time with discounted reward, infinite time horizon and compact state and action space. The existence of optimal policies is shown and the limiting mean-field problem is derived when the…