Related papers: On approximative solutions of multistopping proble…
We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weighted) discount function. In particular, we study (weak)…
We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…
We consider a novel queuing problem where the decision-maker must choose to accept or reject randomly arriving tasks into a no buffer queue which are processed by $N$ identical servers. Each task has a price, which is a positive real…
Planning problems are hard, motion planning, for example, isPSPACE-hard. Such problems are even more difficult in the presence of uncertainty. Although, Markov Decision Processes (MDPs) provide a formal framework for such problems, finding…
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
The paper is devoted to a free-time optimal control problem for sweeping processes. We develop a constructive finite-difference approximation procedure that allows us to establish necessary optimality conditions for discrete optimal…
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 paper studies an optimal control problem for a string of vehicles with safety requirements and finite-time specifications on the approach time to a target region. Our problem formulation is motivated by scenarios involving autonomous…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
This work is concerned with optimal control problems where the objective functional consists of a tracking-type functional and an additional "multibang" regularization functional that promotes optimal control taking values from a given…
Multi-objective model predictive control (MOMPC) for fixed point stabilization requires an automated a priori decision-making (DM) mechanism to translate a high-level preference into a single solution. To this aim, we introduce an approach…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
Optimal stopping problems give rise to random distributions describing how many applicants the decision-maker will sample or interview before choosing one, a quantity sometimes referred to as the search time or process duration. This…
In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional It\^{o} model when the discrete rebalancing dates are stopping times. We investigate the convergence,…
We demonstrate an iterative scheme to approximate the optimal transportation problem with a discrete target measure under certain standard conditions on the cost function. Additionally, we give a finite upper bound on the number of…
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…