Related papers: Solving finite time horizon Dynkin games by optima…

In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…

In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…

We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of payoffs, allowing e.g. for different investment costs, and…

Convergence to a saddle point for convex-concave functions has been studied for decades, while recent years has seen a surge of interest in non-convex (zero-sum) smooth games, motivated by their recent wide applications. It remains an…

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 present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

We study a robust Dynkin game over a set of mutually singular probabilities. We first prove that for the conservative player of the game, her lower and upper value processes coincide (i.e. She has a value process $V $ in the game). Such a…

We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…

We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

For two-person dynamic zero-sum games (both discrete and continuous settings), we investigate the limit of value functions of finite horizon games with long run average cost as the time horizon tends to infinity and the limit of value…

These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…

This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…

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 study stochastic two-player turn-based games in which the objective of one player is to ensure several infinite-horizon total reward objectives, while the other player attempts to spoil at least one of the objectives. The games have…

This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ($c$ and $\chi$ not decreasing in time).…

We propose a goal-oriented mesh-adaptive algorithm for a finite element method stabilized via residual minimization on dual discontinuous-Galerkin norms. By solving a saddle-point problem, this residual minimization delivers a stable…

In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…

For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…

This paper presents a learning dynamic with almost sure convergence guarantee for any stochastic game with turn-based controllers (on state transitions) as long as stage-payoffs induce a zero-sum or identical-interest game. Stage-payoffs…