Related papers: Optimal double stopping of a Brownian bridge
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…
Considering the paradigmatic driven Brownian motion, we perform extensive numerical analysis on the performance of optimal linear-response processes far from equilibrium. We focus on the overdamped regime where exact optimal processes are…
We consider optimal control problems governed by systems describing the unsteady flows of an incompressible second grade fluid with Navier-slip boundary conditions. We prove the existence of an optimal solution and derive the corresponding…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
We investigate the impact of Knightian uncertainty on the optimal timing policy of an ambiguity averse decision maker in the case where the underlying factor dynamics follow a multidimensional Brownian motion and the exercise payoff depends…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…
We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly…
We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for…
This study introduces a simplified model for bridge-vehicle interaction for medium- to long-span bridges subject to random traffic loads. Previous studies have focused on calculating the exact response of the vehicle or the bridge based on…
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…
A Schr\"{o}dinger bridge establishes a dynamic transport map between two target distributions via a reference process, simultaneously solving an associated entropic optimal transport problem. We consider the setting where samples from the…
This work consists of a procedure to optimally select, among a group of candidate sites where gas stations were already located, a sufficient number of charging points in order to guarantee that an electric vehicle can make its journey…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…
In this paper, we study the optimal multiple stopping problem under Knightian uncertainty both under discrete-time case and continuous-time case. The Knightian uncertainty is modeled by a single real-valued function g, which is the…
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single stopping problems, the multiple exercise case involves complex…
Optimal two-treatment, $p$ period crossover designs for binary responses are determined. The optimal designs are obtained by minimizing the variance of the treatment contrast estimator over all possible allocations of $n$ subjects to $2^p$…