Related papers: Optimal Stopping under Nonlinear Expectation
Given a stable L\'{e}vy process $X=(X_t)_{0\le t\le T}$ of index $\alpha\in(1,2)$ with no negative jumps, and letting $S_t=\sup_{0\le s\le t}X_s$ denote its running supremum for $t\in [0,T]$, we consider the optimal prediction problem…
E-values and E-processes (nonnegative supermartingales) provide anytime-valid evidence for sequential testing via Ville's inequality, yet their connection to Bayesian reasoning, representational structure, and computational feasibility are…
A joint conditional autoregressive expectile and Expected Shortfall framework is proposed. The framework is extended through incorporating a measurement equation which models the contemporaneous dependence between the realized measures and…
We study a combined optimal control/stopping problem under a nonlinear expectation ${\cal E}^f$ induced by a BSDE with jumps, in a Markovian framework. The terminal reward function is only supposed to be Borelian. The value function $u$…
In this paper, motivated by a problem in stochastic impulse control theory, we aim to study solutions to a free boundary problem of obstacle-type. We obtain sharp estimates for the solution using nonlinear tools which are independent of the…
Nonlinear expectation, including sublinear expectation as its special case, is a new and original framework of probability theory and has potential applications in some scientific fields, especially in finance risk measure and management.…
We explore the structure of solutions to a family of non-linear martingale optimal transport (MOT) problems that involve conditional expectations in the objective functional. En route general results concerning optimization over…
We consider a framework for approximating the obstacle problem through a penalty approach by nonlinear PDEs. By using tools from capacity theory, we show that derivatives of the solution maps of the penalised problems converge in the weak…
In this paper, we obtain a new estimate for uniform integrability under sublinear expectations. Based on this, we establish the limit theorems under nonlinear expectations dominated by sublinear expectations through tightness, and the limit…
We present a method to solve optimal stopping problems in infinite horizon for a L\'evy process when the reward function can be non-monotone. To solve the problem we introduce two new objects. Firstly, we define a random variable $\eta(x)$…
In many applications one is interested to detect certain (known) patterns in the mean of a process with smallest delay. Using an asymptotic framework which allows to capture that feature, we study a class of appropriate sequential…
In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…
This paper studies the extremum seeking control (ESC) problem for a class of constrained nonlinear systems. Specifically, we focus on a family of constraints allowing to reformulate the original nonlinear system in the so-called…
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is…
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expectation of some running supremum process.…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
We establish the optimal nonergodic sublinear convergence rate of the proximal point algorithm for maximal monotone inclusion problems. First, the optimal bound is formulated by the performance estimation framework, resulting in an infinite…
The aim of this paper is to characterize the Snell envelope of a given P-measurable process l as the minimal solution of some backward stochastic differential equation with lower general reflecting barriers and to prove that this minimal…
This paper proposes a nonlinear optimal guidance law that enables a pursuer to enclose a target within arbitrary geometric patterns, which extends beyond conventional circular encirclement. The design operates using only relative state…