Related papers: Optimal double stopping of a Brownian bridge
We study optimization problems for partially hinged rectangular plates, modeling bridge roadways, in the presence of real and artificial obstacles. Real obstacles represent structural constraints to avoid, while artificial ones are…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
The issue of giving an explicit description of the flow of information concerning the time of bankruptcy of a company (or a state) arriving on the market is tackled by defining a bridge process starting from zero and conditioned to be equal…
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…
Motivated by few delay-optimal scheduling results, in comparison to results on throughput optimality, we investigate a canonical input-queued switch scheduling problem in which the objective is to minimize the discounted delay cost over an…
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…
The pursuit of achieving the maximum power in microscopic thermal engines has gained increasing attention in recent studies of stochastic thermodynamics. We employ the optimal control theory to study the performance of Brownian heat engines…
In this paper, we study Two-way relaying networks well-known for its throughput merits. In particular, we study the fundamental throughput delay trade-off in two-way relaying networks using opportunistic network coding. We characterize the…
Results of penalization of a one-dimensional Brownian motion $(X_t) $, by its one-sided maximum $\dis (S_t=\sup_{0 \leq u \leq t}X_u)$, which were recently obtained by the authors are improved with the consideration-in the present paper- of…
In this work we consider the numerical resolution of the bilateral obstacle optimal control problem given in Bergounioux et al. Where the main feature of this problem is that the control and the obstacle are the same.
Motivated by the Brownian bridge on random interval considered by Bedini et al \cite{BBE}, we introduce and study Gaussian bridges with random length with special emphasis to the Markov property. We prove that if the starting process is…
We propose a method to exactly generate bridge run-and-tumble trajectories that are constrained to start at the origin with a given velocity and to return to the origin after a fixed time with another given velocity. The method extends the…
This paper analyzes the use of variable speed limits to optimize travel time reliability for commuters. The investigation focuses on a traffic corridor with a bottleneck subject to the capacity drop phenomenon. The optimization criterion is…
We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random time which is not directly observable. Based on the…
We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion. An arbitrarily early intervention may be uselessly costly,…
The Schr\"odinger bridge problem (SBP) finds the most likely stochastic evolution between two probability distributions given a prior stochastic evolution. As well as applications in the natural sciences, problems of this kind have…
Unlimited access to a motorway network can, in overloaded conditions, cause a loss of capacity. Ramp metering (signals on slip roads to control access to the motorway) can help avoid this loss of capacity. The design of ramp metering…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short…
We consider the problem to identify the most likely flow in phase space, of (inertial) particles under stochastic forcing, that is in agreement with spatial (marginal) distributions that are specified at a set of points in time. The…