Related papers: Optimal double stopping of a Brownian bridge
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…
Brownian escape is key to a wealth of physico-chemical processes, including polymer folding, and information storage. The frequency of thermally activated energy barrier crossings is assumed to generally decrease exponentially with…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
We will investigate the value and inactive region of optimal stopping and one-sided singular control problems by focusing on two fundamental ratios. We shall see that these ratios unambiguously characterize the solution, although usually…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not…
The $\alpha$-Brownian bridge, or scaled Brownian bridge, is a generalization of the Brownian bridge with a scaling parameter that determines how strong the force that pulls the process back to 0 is. The bias of the maximum likelihood…
Simple physical models based on fluid mechanics have long been used to understand the flow of vehicular traffic on freeways; analytically tractable models of flow on an urban grid, however, have not been as extensively explored. In an ideal…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
Given a standard Brownian motion $B^{\mu}=(B_t^{\mu})_{0\le t\le T}$ with drift $\mu \in \mathbb{R}$ and letting $S_t^{\mu}=\max_{0\le s\le t}B_s^{\mu}$ for $0\le t\le T$, we consider the optimal prediction problem: \[V=\inf_{0\le \tau \le…
In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time problems based on the Brownian motion filtration. The algorithm is based on Le\~ao, Ohashi and Russo and, in contrast to previous works, our methodology…
Motivated by the connection between the Kyle equilibrium with static private signal and the Brownian bridge, we study a much broader class of bridges that allow one to consider more general equilibrium models, for example ones including…
We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…
We present a new method to sample conditioned trajectories of a system evolving under Langevin dynamics, based on Brownian bridges. The trajectories are conditioned to end at a certain point (or in a certain region) in space. The bridge…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
We give a rigorous solution of an optimisation problem of minimizing the expected delay caused by encountering a red traffic light on a road journey. The problem incorporates simple constraints on maximum speed, acceleration and braking…
We formulate and solve a free target optimal Brownian stopping problem from a given distribution while the target distribution is free and is conditioned to satisfy a given density height constraint. The free target optimization problem…
In this paper we consider non-intersecting Brownian bridges, under fairly general upper and lower boundaries, and starting and ending data. Under the assumption that these boundary data induce a smooth limit shape (without empty facets), we…
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…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…