Related papers: Dual representations for general multiple stopping…

This paper reviews compact continuous-time formulations for the multi-mode resource-constrained project scheduling problem. Specifically, we first point out a serious flaw in an existing start-end-event-based formulation owing to…

We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We…

We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent…

We propose a duality theory for multi-marginal repulsive cost that appear in optimal transport problems arising in Density Functional Theory. The related optimization problems involve probabilities on the entire space and, as minimizing…

Lagrangian formulation of kinematic wave provides a more accurate representation than the most commonly used Eulerian formulation. Furthermore, Lagrangian representation offers a flexibility to study certain traffic phenomena (e.g. capacity…

Learned representations in deep reinforcement learning (DRL) have to extract task-relevant information from complex observations, balancing between robustness to distraction and informativeness to the policy. Such stable and rich…

In this article, we study a double-phase variable-exponent Kirchhoff problem and show the existence of at least three solutions. The proposed model, as a generalization of the Kirchhoff equation, is interesting since it is driven by a…

Proximal operators with affine constraints arise in numerous models in nonconvex projection, composite optimization, and structured regularization. However, their efficient computation remains challenging due to the simultaneous presence of…

Minimum divergence problems under integral constraints appear throughout statistics and probability, including sequential inference, bandit theory, and distributionally robust optimization. In many such settings, dual representations are…

In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the options we consider are written on a…

In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…

This paper examines a class of barrier options-multi-step barrier options, which can have any finite number of barriers of any level. We obtain a general, explicit expression of option prices of this type under the Black-Scholes model.…

An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem. Difficulties in applying standard numerical methods to complex…

We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…

We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…

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…

We consider the robust permutation flowshop problem under the budgeted uncertainty model, where at most a given number of job processing times may deviate on each machine. We show that solutions for this problem can be determined by solving…

This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution framework, with a particular focus on the Merton model. The…

This paper provides two parallel solutions on the mixed boundary value problem of a unit annulus subjected to a partially fixed outer periphery and an arbitrary traction acting along the inner periphery using the complex variable method.…