Related papers: Optimal stopping without Snell envelopes

We study global optimization of non-convex functions through optimal control theory. Our main result establishes that (quasi-)optimal trajectories of a discounted control problem converge globally and practically asymptotically to the set…

In this paper, two main results concerning uniformly continuous retractions are proved. First, an $\alpha$-H\"older retraction from any separable Banach space onto a compact convex subset whose closed linear span is the whole space is…

We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…

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 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…

The dynamical formulation of optimal transport, also known as Benamou-Brenier formulation or Computational Fluid Dynamics formulation, amounts to write the optimal transport problem as the optimization of a convex functional under a PDE…

In this work we study a special minimax problem where there are linear constraints that couple both the minimization and maximization decision variables. The problem is a generalization of the traditional saddle point problem (which does…

We consider partial differential equations (PDEs) characterized by an upper barrier that depends on the solution itself and a fixed lower barrier, while accommodating a non-local driver. First, we show a Feynman-Kac representation for the…

We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…

We study optimal stopping of Feller-Markov processes to maximise an undiscounted functional consisting of running and terminal rewards. In a finite-time horizon setting, we extend classical results to unbounded rewards. In infinite horizon,…

A non-convex control system governed by a nonlinear impulsive evolution equation of Hilfer fractional order in a Banach space is considered. The existence of admissible state-control pair is established. Then the introduction of suitable…

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…

This paper associates a dual problem to the minimization of an arbitrary linear perturbation of the robust sum function introduced in DOI 10.1007/s11228-019-00515-2. It provides an existence theorem for primal optimal solutions and, under…

We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.

We investigate optimal stopping problems for systems driven by the Brownian sheet. Our analysis is divided into two parts. In the first part we derive explicit solutions to two optimal stopping problems for the exponentially discounted…

Optimal control problems without control costs in general do not possess solutions due to the lack of coercivity. However, unilateral constraints together with the assumption of existence of strictly positive solutions of a pre-adjoint…

In this paper, we investigate optimal control problems for Allen-Cahn variational inequalities with a dynamic boundary condition involving double obstacle potentials and the Laplace-Beltrami operator. The approach covers both the cases of…

This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…

The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod…