Related papers: Solving optimal stopping problems for L\'evy proce…
We investigate an entropy-regularized reinforcement learning (RL) approach to optimal stopping problems motivated by real option models. Classical stopping rules are strict and non-randomized, limiting natural exploration in RL settings. To…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…
We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
This paper considers online optimization for a system that performs a sequence of back-to-back tasks. Each task can be processed in one of multiple processing modes that affect the duration of the task, the reward earned, and an additional…
We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the value function is the pointwise infimum of those functions…
The infinite horizon setting is widely adopted for problems of reinforcement learning (RL). These invariably result in stationary policies that are optimal. In many situations, finite horizon control problems are of interest and for such…
In this paper, we present a novel method for computing the asymptotic values of both the optimal threshold, and the probability of success in sequences of optimal stopping problems. This method, based on the resolution of a first-order…
We investigate a limit value of an optimal control problem when the horizon converges to infinity. For this aim, we suppose suitable nonexpansive-like assumptions which does not imply that the limit is independent of the initial state as it…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
We construct an efficient numerical scheme for solving obstacle problems in divergence form. The numerical method is based on a reformulation of the obstacle in terms of an L1-like penalty on the variational problem. The reformulation is an…
This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the $d$-dimensional Wiener process. We first obtain some verification theorems for…
This paper presents a new method for solving a class of nonlinear optimal control problems with a quadratic performance index. In this method, first the original optimal control problem is transformed into a nonlinear two-point boundary…
We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a path-dependent manner. For optimal stopping problems with…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
We consider the finite horizon continuous reinforcement learning problem. Our contribution is three-fold. First,we give a tractable algorithm based on optimistic value iteration for the problem. Next,we give a lower bound on regret of order…
We study optimality conditions for various types of control problems like the standard optimal control problem, optimal multiprocesses, problems with infinite horizon or the control of Volterra integral equations. To derive necessary…