Related papers: On Asymptotics of Optimal Stopping Times
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
We consider a discounted infinite horizon optimal stopping problem. If the underlying distribution is known a priori, the solution of this problem is obtained via dynamic programming (DP) and is given by a well known threshold rule. When…
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…
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…
We study the performance of asymptotic and approximate consensus algorithms under harsh environmental conditions. The asymptotic consensus problem requires a set of agents to repeatedly set their outputs such that the outputs converge to a…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
The last success problem is an optimal stopping problem that aims to maximize the probability of stopping on the last success in a sequence of independent $n$ Bernoulli trials. In the classical setting where complete information about the…
The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study data-driven optimal stopping for a general diffusion process,…
We register a stochastic sequence affected by one disorder. Monitoring of the sequence is made in the circumstances when not full information about distributions before and after the change is available. The initial problem of disorder…
A convenient framework for dealing with asymptotic limit problems of probabilistic nature is provided. These problems include questions such as finding the asymptotic proportion of terms of a sequence falling inside a given interval, or the…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
We give asymptotic lower bounds of the value for Bruss' optimal stopping problem with multiple stopping chances. It interestingly consists of the asymptotic threshold values in the optimal multiple stopping strategy. Another interesting…
This paper introduces an optimization problem (P) and a solution strategy to design variable-speed-limit controls for a highway that is subject to traffic congestion and uncertain vehicle arrival and departure. By employing a finite…
Given a set of independent Poisson random variables with common mean, we study the distribution of their maximum and obtain an accurate asymptotic formula to locate the most probable value of the maximum. We verify our analytic results with…
This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed (iid), we assume that they follow a regime switching…