Related papers: Optimal Stopping in General Predictable Framework
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
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…
This note considers a variation of the full-information secretary problem where the random variables to be observed are independent and identically distributed. Consider $X_1,\dots,X_n$ to be an independent sequence of random variables, let…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…
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…
In this paper, we solve the existence problem of optimal stopping problem under some kind of nonlinear expectation named g_\Gamma expectation which was recently introduced in Peng, S.G. and Xu, M.Y. [8]. Our method based on our preceding…
We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
Let $X$ be a bounded c\`adl\`ag process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process $X$ under a nonlinear expectation operator $\cE$ defined as the supremum…
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 proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a closed convex subset of the unit ball of the dual of a Banach…
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…
This paper proposes an optimization with penalty-based feedback design framework for safe stabilization of control affine systems. Our starting point is the availability of a control Lyapunov function (CLF) and a control barrier function…
In a classical problem for the stopping of a diffusion process $(X_t)_{t \geq 0}$, where the goal is to maximise the expected discounted value of a function of the stopped process ${\mathbb E}^x[e^{-\beta \tau}g(X_\tau)]$, maximisation…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…