Related papers: Optimal switching problem for marked point process…
In this paper, we focus on multiple sampling problems for the estimation of the fractional Brownian motion when the maximum number of samples is limited, extending existing results in the literature in a non-Markovian framework. Two classes…
In the present paper we address stochastic optimal control problems for a step process $(X,\mathbb{F})$ under a progressive enlargement of the filtration. The global information is obtained adding to the reference filtration $\mathbb{F}$…
Consider a time-varying collection of n points on the positive real axis, modeled as exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If…
In this paper we study the problem of stopping a Brownian bridge $X$ in order to maximise the expected value of an exponential gain function. In particular, we solve the stopping problem $$\sup_{0\le \tau\le…
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 optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…
Stemmed from the derivation of the optimal control to a stochastic linear-quadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the generator f is affected by a Markovian…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
The process of dynamic state estimation (filtering) based on point process observations is in general intractable. Numerical sampling techniques are often practically useful, but lead to limited conceptual insight about optimal…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
In this paper, we introduce a new method to study the doubly reflected backward stochastic differential equation driven by G-Brownian motion (G-BSDE). Our approach involves approximating the solution through a family of penalized reflected…
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stochastic differential equation (BSDE) with quadratic growth and…
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…
A random sequence having two segments being the homogeneous Markov processes is registered. Each segment has his own transition probability law and the length of the segment is unknown and random. The transition probabilities of each…
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brownian motion with zero drift driven by some unhedgeable risk.…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
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…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…