Related papers: Finite-horizon optimal multiple switching with sig…
We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
For the identification of switched systems with a measured switching signal, this work aims to analyze the effect of switching strategies on the estimation error. The data for identification is assumed to be collected from globally…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
We consider partially observable Markov decision processes (POMDPs) with a set of target states and every transition is associated with an integer cost. The optimization objective we study asks to minimize the expected total cost till the…
We combine the fields of heuristic optimization and optimal stopping. We propose a strategy for benchmarking randomized optimization algorithms that minimizes the expected total cost for obtaining a good solution with an optimal number of…
In many sequential decision making applications, the change of decision would bring an additional cost, such as the wear-and-tear cost associated with changing server status. To control the switching cost, we introduce the problem of online…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
A class of infinite horizon optimal control problems involving $L^p$-type cost functionals with $0<p\leq 1$ is discussed. The existence of optimal controls is studied for both the convex case with $p=1$ and the nonconvex case with $0<p<1$,…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
The paper is concerned with a general optimization problem for a nonlinear control system, in the presence of a running cost and a terminal cost, with free terminal time. We prove the existence of a patchy feedback whose trajectories are…
We present a new online algorithm for profit-oriented scheduling on multiple speed-scalable processors. Moreover, we provide a tight analysis of the algorithm's competitiveness. Our results generalize and improve upon work by…
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
This work is concerned with a switching point optimization problem governed by a semilinear parabolic equation in abstract function spaces. It is shown that the switching-point-to-control mapping is continuously Fr\'echet-differentiable…
Optimal control problems involving hybrid binary-continuous control costs are challenging due to their lack of convexity and weak lower semicontinuity. Replacing such costs with their convex relaxation leads to a primal-dual optimality…