Related papers: Optimal Stopping in General Predictable Framework
A method based on deep artificial neural networks and empirical risk minimization is developed to calculate the boundary separating the stopping and continuation regions in optimal stopping. The algorithm parameterizes the stopping boundary…
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…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…
We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a path-dependent manner. For optimal stopping problems with…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
Given a stochastic state process $(X_t)_t$ and a real-valued submartingale cost process $(S_t)_t$, we characterize optimal stopping times $\tau$ that minimize the expectation of $S_\tau$ while realizing given initial and target…
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…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised family of such problems. We provide a general theory of parameter…
On a filtered probability space $(\Omega,\mathcal{F},P,\mathbb{F}=(\mathcal{F}_t)_{t=0,\dotso,T})$, we consider stopper-stopper games $\overline V:=\inf_{\Rho\in\bT^{ii}}\sup_{\tau\in\T}\E[U(\Rho(\tau),\tau)]$ and $\underline…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy…
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point is probabilistically regular for the interior of the…
In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to…
In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish the existence of the Snell envelope by employing a…