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Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
This paper deals with the alternative mathematical modeling of the two-side platform. Two-sided platforms are specific multi-sided platforms that bring together two distinct groups of a model. The stochastic modeling by adapting various…
A debt swap is an elementary edge swap in a directed, weighted graph, where two edges with the same weight swap their targets. Debt swaps are a natural and appealing operation in financial networks, in which nodes are banks and edges…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
This paper proposes a new class of online policies for scheduling in input-buffered crossbar switches. Our policies are throughput optimal for a large class of arrival processes which satisfy strong-law of large numbers. Given an initial…
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…
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedging instruments are vanilla options written on a single…
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…
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…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
We consider a two-asset non-linear model of option pricing in an environment where the correlation is not known precisely, but varies between two known values. First we discuss the non-negativity of the solution of the equation. Next, we…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…
A dynamic bipartite matching model is given by a bipartite matching graph which determines the possible matchings between the various types of supply and demand items. Both supply and demand items arrive to the system according to a…
We consider the energy-optimal control problem for double-integrator systems subject to state and control constraints, with fixed terminal time and free terminal speed. When the constraints become active, the optimal trajectory consists of…
This paper develops an embedding-based approach to solve switched optimal control problems (SOCPs) with an arbitrary number of subsystems. Initially, the discrete switching signal is represented by a set of binary variables, encoding each…
The emerging connected-vehicle technology provides a new dimension in developing more intelligent traffic control algorithms for signalized intersections in networked transportation systems. An important challenge for the scheduling problem…