Related papers: On the Robust Optimal Stopping Problem
Three notions of random stopping times exist in the literature. We introduce two concepts of equivalence of random stopping times, motivated by optimal stopping problems and stopping games respectively. We prove that these two concepts…
We consider a class of discretionary stopping problems within the $G$-framework. We first establish the well-definedness of the stopping problem under the $G$-expectation, by showing the quasi-continuity of the stopped process. We then…
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 uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game's…
In this Note we study optimal stopping problems for strong Markov processes and affine functions. We give a justification of the Snell envelope form using standard results of optimal stopping. We also justify the convexity of the value…
This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time, whichever comes first. We prove a stochastic maximum…
In this paper, we look at the problem of finding the tour of maximum reward on an undirected graph where the reward is a submodular function, that has a curvature of $\kappa$, of the edges in the tour. This problem is known to be NP-hard.…
In this paper, we propose a new efficient algorithm to compute the value function for zero-sum stopping games featuring two players with opposing interests. This can be seen as a game version of the ''forward algorithm'' for (one-player)…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
We consider one-round games between a classical referee and two players. One of the main questions in this area is the parallel repetition question: Is there a way to decrease the maximum winning probability of a game without increasing the…
In the literature on optimal stopping, the problem of maximizing the expected discounted reward over all stopping times has been explicitly solved for some special reward functions (including $(x^+)^{\nu}$, $(e^x-K)^+$, $(K-e^{-x})^+$,…
The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form expressions for the ruin probabilities and the expected game…
This paper develops a unified framework for zero-sum games in which both the pure strategies and the payoff matrices contain complex-valued entries. By leveraging a linear isomorphism between complex and real vector spaces, we extend key…
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…
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 $u$…
We consider a competition between $d+1$ players, and aim to identify the "most exciting game'' of this kind. This is translated, mathematically, into a stochastic optimization problem over martingales that live on the $d$-dimensional…
Static potential games are non-cooperative games which admit a fictitious function, also referred to as a potential function, such that the minimizers of this function constitute a subset (or a refinement) of the Nash equilibrium strategies…
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…
Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…