Related papers: Optimal double stopping of a Brownian bridge
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
We establish large deviations for dynamical Schr\"{o}dinger problems driven by perturbed Brownian motions when the noise parameter tends to zero. Our results show that Schr\"{o}dinger bridges charge exponentially small masses outside the…
We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$. Following the optimal one stopping time problem, we study the existence of…
We provide a new probabilistic proof of the connection between Rost's solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian motion with finite time-horizon. In particular we use…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…
We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundary is proved to be Lipschitz continuous on any closed…
Transitions between two lanes often have a significant impact on various forms of road traffic. To address this problem, we have developed a two-lane asymmetric simple exclusion process model and two hypothetical traffic control strategies,…
We numerically investigate the transport of a suspended overdamped Brownian particle which is driven through a two-dimensional rectangular array of circular obstacles with finite radius. Two limiting cases are considered in detail, namely,…
This paper exploit the equivalence between the Schr\"odinger Bridge problem and the entropy penalized optimal transport in order to find a different approach to the duality, in the spirit of optimal transport. This approach results in a…
The subject of this work has its roots in the so called Schroedginer Bridge Problem (SBP) which asks for the most likely distribution of Brownian particles in their passage between observed empirical marginal distributions at two distinct…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
We provide a representation of the maximal difference between a standard Brownian bridge and its concave majorant on the unit interval, from which we deduce expressions for the distribution and density functions and moments of this…
We study the consequences of the equivalence between the least gradient problem and a boundary-to-boundary optimal transport problem in two dimensions. We extend the relationship between the two problems to their respective dual problems,…
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the…
We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…
This paper develops an optimal acceleration/speed profile for a single autonomous vehicle crossing multiple signalized intersections without stopping in free flow mode. The design objective is to produce both time and energy efficient…
In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions rather than an RCLL process. We…
Suppose $N$ independent Bernoulli trials are observed sequentially at random times of a mixed binomial process. The task is to maximise, by using a nonanticipating stopping strategy, the probability of stopping at the last success. We focus…
We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…