Related papers: Geometry of Distribution-Constrained Optimal Stopp…
We consider the optimal stopping problem $v^{(\eps)}:=\sup_{\tau\in\mathcal{T}_{0,T}}\mathbb{E}B_{(\tau-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic Optimization Problems organized by the Steklov…
Optimal transport (OT) based data analysis is often faced with the issue that the underlying cost function is (partially) unknown. This paper is concerned with the derivation of distributional limits for the empirical OT value when the cost…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
We develop novel numerical methods and perturbation approaches to determine the mean first passage time (MFPT) for a Brownian particle to be captured by either small stationary or mobile traps inside a bounded 2-D confining domain. Of…
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
We consider a Brownian particle diffusing in a one dimensional interval with absorbing end points. We study the ramifications when such motion is interrupted and restarted from the same initial configuration. We provide a comprehensive…
Given a standard Brownian motion $B^{\mu}=(B_t^{\mu})_{0\le t\le T}$ with drift $\mu \in \mathbb{R}$ and letting $S_t^{\mu}=\max_{0\le s\le t}B_s^{\mu}$ for $0\le t\le T$, we consider the optimal prediction problem: \[V=\inf_{0\le \tau \le…
The geometric transportation problem takes as input a set of points $P$ in $d$-dimensional Euclidean space and a supply function $\mu : P \to \mathbb{R}$. The goal is to find a transportation map, a non-negative assignment $\tau : P \times…
We use a first-passage time approach to study the statistics of the trapping times induced by persistent motion of active particles colliding with flat boundaries. The angular first-passage time distribution and mean first-passage time is…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point is assumed unknown (nonrandom). The object of interest is…
We numerically investigate the transport of a suspended overdamped Brownian particle which is driven through a two-dimensional rectangular array of circular obstacles with finite radius. Two limiting cases are considered in detail, namely,…
This paper considers the class of L\'evy processes that can be written as a Brownian motion time changed by an independent L\'evy subordinator. Examples in this class include the variance gamma model, the normal inverse Gaussian model, and…
This paper concerns optimal stopping problems driven by the running maximum of a spectrally negative L\'{e}vy process $X$. More precisely, we are interested in modifications of the Shepp-Shiryaev optimal stopping problem [Avram, Kyprianou…
We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the…
We study an optimization problem related to the approximation of given data by a linear combination of transformed modes. In the simplest case, the optimization problem reduces to a minimization problem well-studied in the context of proper…
Graph planning gives rise to fundamental algorithmic questions such as shortest path, traveling salesman problem, etc. A classical problem in discrete planning is to consider a weighted graph and construct a path that maximizes the sum of…
During recent decades, there has been a substantial development in optimal mass transport theory and methods. In this work, we consider multi-marginal problems wherein only partial information of each marginal is available, which is a setup…