Related papers: Entry-exit decisions with implementation delay und…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…
In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time \tau is modelled as the first time a stochastic process hits a random barrier L. The insider…
An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…
Robbins' problem of optimal stopping asks one to minimise the expected {\it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {\it value} of the stopped variable under the rule optimal…
Inactive constraints do not contribute to the solution of an optimal control problem, but increase the problem size and burden the numerical computations. We present a novel strategy for handling inactive constraints efficiently by…
We study the tradeoff between fundamental risk and time. A time-constrained agent has to solve a problem. She dynamically allocates effort between implementing a risky initial idea and exploring alternatives. Discovering an alternative…
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal…
Time-triggered and event-triggered control strategies for stabilization of an unstable plant over a rate-limited communication channel subject to unknown, bounded delay are studied and compared. Event triggering carries implicit…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism in a multidimensional setting and show that in a…
We prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of variations with time delays, where the delay in the unknown function is different from the delay in its derivative. Then, a more general…
It was found in the paper that the time frames of the studied system operation depend on the research objective. In cases when it comes to problems, related to the physical movement of the input and output products, limits of the study are…
We present an economics-based method for deciding the optimal rates at which vehicles are allowed to enter a highway. The method exploits the naturally occuring fluctuations of traffic flow and is flexible enough to adapt in real time to…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be…
In this paper a class of combinatorial optimization problems is discussed. It is assumed that a feasible solution can be constructed in two stages. In the first stage the objective function costs are known while in the second stage they are…
We propose a novel exact algorithm for the transportation problem, one of the paradigmatic network optimization problems. The algorithm, denoted Iterated Inside Out, requires in input a basic feasible solution and is composed by two main…
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs…