Related papers: Optimal multiple stopping with random waiting time…

In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy…

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…

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…

We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…

The paper addresses the problem of computing maximal expected time to termination of probabilistic timed automata (PTA) models, under the condition that the system will, eventually, terminate. This problem can exhibit high computational…

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…

For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…

The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…

We investigate the effects of markovian resseting events on continuous time random walks where the waiting times and the jump lengths are random variables distributed according to power law probability density functions. We prove the…

A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…

We extend the standard reinforcement learning framework to random time horizons. While the classical setting typically assumes finite and deterministic or infinite runtimes of trajectories, we argue that multiple real-world applications…

We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…

We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…

We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…

This paper considers an opportunistic scheduling problem over a renewal system. A controller observes a random event at the beginning of each renewal frame and then chooses an action in response to the event, which affects the duration of…

This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…

Reinforcement learning (RL) is currently one of the most prominent methods for optimizing dynamical systems, with breakthrough results across various fields. The framework is based on the concept of a Markov decision process (MDP), leading…

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…

Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…

This paper considers optimization over multiple renewal systems coupled by time average constraints. These systems act asynchronously over variable length frames. For each system, at the beginning of each renewal frame, it chooses an action…