Related papers: Optimizing a variable-rate diffusion to hit an inf…
We consider diffusion in arbitrary spatial dimension d with the addition of a resetting process wherein the diffusive particle stochastically resets to a fixed position at a constant rate $r$. We compute the non-equilibrium stationary state…
Brownian diffusion subject to stochastic resetting to a fixed position has been widely studied for applications to random search processes. In an unbounded domain, the mean first-passage time at a target site can be minimized for a…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
We consider a decision maker who must choose an action in order to maximize a reward function that depends also on an unknown parameter {\Theta}. The decision maker can delay taking the action in order to experiment and gather additional…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
We consider the mean time to absorption by an absorbing target of a diffusive particle with the addition of a process whereby the particle is reset to its initial position with rate $r$. We consider several generalisations of the model of…
Resetting or restart, when applied to a stochastic process, usually brings its dynamics to a time-independent stationary state. In turn, the optimal resetting rate makes the mean time to reach a target to be the shortest one. These and…
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
We investigate classic diffusion with the added feature that a diffusing particle is reset to its starting point each time the particle reaches a specified threshold. In an infinite domain, this process is non-stationary and its probability…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying branching process to reach a target set at a finite…
We consider one dimensional diffusive search strategies subjected to external potentials. The location of a single target is drawn from a given probability density function (PDF) $f_G(x)$ and is fixed for each stochastic realization of the…
We consider the extremal pointset configuration problem of maximizing a kernel-based energy subject to the geometric constraints that the points are contained in a fixed set, the pairwise distances are bounded below, and that every closed…
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…
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion…
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 re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…