Related papers: On a Monotone Dynamic Approach to Optimal Stopping…
Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…
A general method to describe stochastic dynamics of Markov processes is suggested. The method aims to solve three related problems. The determination of an optimal coordinate for the description of stochastic dynamics. The reconstruction of…
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set $\mathcal{O}$. The stopping horizon is either random, equal…
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
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…
The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a…
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We provide an algorithm to find the value and an optimal strategy of the solitaire variant of the Ten Thousand dice game in the framework of Markov Control Processes. Once an optimal critical threshold is found, the set of non-stopping…
We consider a dynamic programming (DP) approach to approximately solving an infinite-horizon constrained Markov decision process (CMDP) problem with a fixed initial-state for the expected total discounted-reward criterion with a…
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called…
The problem of stochastic deadline scheduling is considered. A constrained Markov decision process model is introduced in which jobs arrive randomly at a service center with stochastic job sizes, rewards, and completion deadlines. The…
The problem of high-dimensional path-dependent optimal stopping (OS) is important to multiple academic communities and applications. Modern OS tasks often have a large number of decision epochs, and complicated non-Markovian dynamics,…
We give a new proof of the fact that the value function of the finite time horizon American put option for a jump diffusion, when the jumps are from a compound Poisson process, is the classical solution of a free boundary equation. We also…
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…