Related papers: Optimal stopping without Snell envelopes

In this paper, we introduce methods from convex optimization to solve the multimarginal transport type problems arise in the context of density functional theory. Convex relaxations are used to provide outer approximation to the set of…

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…

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…

This paper is concerned with the optimal control problem governed by a linear parabolic equation and subjected to box constraints on control variables. This type of problem has important applications in heating and cooling systems. By…

When optimization theorists consider optimization problems in infinite dimensional spaces, they need to deal with closed convex subsets(usually cones) which mostly have empty interior. These subsets often prevent optimization theorists from…

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 provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…

Differential stability of convex discrete optimal control problems in Banach spaces is studied in this paper. By using some recent results of An and Yen [Appl. Anal. 94, 108--128 (2015)] on differential stability of parametric convex…

In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly applicable in situations where the underlying randomness can…

Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…

We prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of variations with time delays, where the delay in the unknown function is different from the delay in its derivative. Then, a more general…

We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…

We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…

We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…

In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…

This paper considers the optimal control for hybrid systems whose trajectories transition between distinct subsystems when state-dependent constraints are satisfied. Though this class of systems is useful while modeling a variety of…

We study the existence of solutions arising from the modelling of elastic materials using generalized theories of continua. In view of some evidence from physics of meta-materials we focus our effort on two recent nonstandard relaxed…

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…

In this work, we reveal a rich combinatorial structure underlying exact minimax optimal algorithms for classical nonexpansive fixed-point problems. This viewpoint unifies all extremal optimal methods and provides a systematic and practical…