Related papers: Riesz representation and optimal stopping with two…
The problem of stopping a Brownian bridge with an unknown pinning point to maximise the expected value at the stopping time is studied. A few general properties, such as continuity and various bounds of the value function, are established.…
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…
We study point-wise estimates for the modified Riesz potential. We show that the point-wise estimates imply embeddings into Orlicz spaces from the L^1_p-space where the functions are defined in non-smooth domains. The Orlicz functions…
This paper deals with numerical solutions to a partial differential equation of fractional order. Generally this type of equation describes a transition from anomalous diffusion to transport processes. From a phenomenological point of view,…
We generalize the classical theory on algebraic Riccati equations and optimization to infinite-dimensional well-posed linear systems, thus completing the work of George Weiss, Olof Staffans and others. We show that the optimal control is…
The paper is devoted to the relaxation and integral representation in the space of functions of bounded variation for an integral energy arising from optimal design problems. The presence of a perimeter penalization is also considered in…
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), and present applications to option pricing and portfolio…
We generalize various notions of stability of invariant sets of dynamical systems to invariant measures, by defining a topology on the set of measures. The defined topology is similar, but not topologically equivalent to weak* topology, and…
The classic Riesz representation theorem characterizes all linear and increasing functionals on the space $C_{c}(X)$ of continuous compactly supported functions. A geometric version of this result, which characterizes all linear increasing…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…
This paper provides a quantitative version of the recent result of Kn\"upfer and Muratov ({\it Commun. Pure Appl. Math.} {\bf 66} (2013), 1129--1162) concerning the solutions of an extension of the classical isoperimetric problem in which a…
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different but related representations: by means of…
This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with constant cap. When the cap grows over time,…
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 provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can…
Explicit solution of an infinite horizon optimal stopping problem for a Levy processes with a polynomial reward function is given, in terms of the overall supremum of the process, when the solution of the problem is one-sided. The results…
This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Levy process. This allows the model to…