Related papers: On approximative solutions of multistopping proble…
In this paper, we consider the optimal stopping problem on semi-Markov processes (SMPs) with finite horizon, and aim to establish the existence and computation of optimal stopping times. To achieve the goal, we first develop the main…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
Dial a ride problems consist of a metric space (denoting travel time between vertices) and a set of m objects represented as source-destination pairs, where each object requires to be moved from its source to destination vertex. We consider…
This paper studies the problem of steering the distribution of a discrete-time dynamical system from an initial distribution to a target distribution in finite time. The formulation is fully nonlinear, allowing the use of general control…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In our problem, we are given access to a number of sequences of nonnegative i.i.d. random variables, whose realizations are observed sequentially. All sequences are of the same finite length. The goal is to pick one element from each…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
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…
The paper concerns the study and applications of a new class of optimal control problems governed by a perturbed sweeping process of the hysteresis type with control functions acting in both play-and-stop operator and additive…
In this work, we investigate an optimization problem over adapted couplings between pairs of real valued random variables, possibly describing random times. We relate those couplings to a specific class of causal transport plans between…
Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the…
We propose a novel group of Gaussian Process based algorithms for fast approximate optimal stopping of time series with specific applications to financial markets. We show that structural properties commonly exhibited by financial time…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…