Related papers: Optimal multiple stopping with random waiting time…

In this paper, we introduce regularized stochastic team problems. Under mild assumptions, we prove that there exists an unique fixed point of the best response operator, where this unique fixed point is the optimal regularized team decision…

We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not…

This paper studies the mean-field Markov decision process (MDP) with the centralized stopping under the non-exponential discount. The problem differs fundamentally from most existing studies on mean-field optimal control/stopping due to its…

We propose and analyze a continuous-time robust reinforcement learning framework for optimal stopping under ambiguity. In this framework, an agent chooses a robust exploratory stopping time motivated by two objectives: robust…

Most classical scheduling formulations assume a fixed and known duration for each activity. In this paper, we weaken this assumption, requiring instead that each duration can be represented by an independent random variable with a known…

We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…

This paper presents the benefits of using randomized neural networks instead of standard basis functions or deep neural networks to approximate the solutions of optimal stopping problems. The key idea is to use neural networks, where the…

First-passage times are often the most relevant aspect of a complex Markovian network, because they signify when information processing has resulted in a definite decision. Previous studies have shown that for kinetic proofreading networks…

We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…

Both the shortest and the longest blowup time for a controlled system are considered. Existence result and maximum principle for optimal triple are established. Thanks to some monotonicity of the controlled system, some kinds of "the front…

We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…

We describe a method for time-critical decision making involving sequential tasks and stochastic processes. The method employs several iterative refinement routines for solving different aspects of the decision making problem. This paper…

We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…

This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…

Classical deterministic optimal control problems assume full information about the controlled process. The theory of control for general partially-observable processes is powerful, but the methods are computationally expensive and typically…

We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion. An arbitrarily early intervention may be uselessly costly,…

In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…

This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when…

We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,\infty],…