Related papers: Optimal stopping in a general framework
The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…
We consider finite element approximations of ill-posed elliptic problems with conditional stability. The notion of {\emph{optimal error estimates}} is defined including both convergence with respect to mesh parameter and perturbations in…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral representation of this function by utilizing the explicitly…
Given two probability measures $\mu, \nu$ on $\mathbb{R}^d$, in subharmonic order, we describe optimal stopping times $\tau$ that maximize/minimize the cost functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$, where $(B_t)_t$ is…
We will investigate the value and inactive region of optimal stopping and one-sided singular control problems by focusing on two fundamental ratios. We shall see that these ratios unambiguously characterize the solution, although usually…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
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…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
We consider families of tight upper bounds on the difference $S(\rho)-S(\sigma)$ with the rank/energy constraint imposed on the state $\rho$ which are valid provided that the state $\rho$ partially majorizes the state $\sigma$ and is close…
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
Explicit solution of an infinite horizon optimal stopping problem for a Levy processes with a polynomial reward function is given, in terms of the overall supremum of the process, when the solution of the problem is one-sided. The results…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
We study a new optimal stopping problem: Let $G$ be a fixed graph with $n$ vertices which become active on-line in time, one by another, in a random order. The active part of $G$ is the subgraph induced by the active vertices. Find a…
We take a unifying approach to single selection optimal stopping problems with random arrival order and independent sampling of items. In the problem we consider, a decision maker (DM) initially gets to sample each of $N$ items…
A classic solution technique for Markov decision processes (MDP) and stochastic games (SG) is value iteration (VI). Due to its good practical performance, this approximative approach is typically preferred over exact techniques, even though…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…