Related papers: Optimal Multiple Stopping Problem under Nonlinear …
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
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 study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…
Robbins' problem of optimal stopping asks one to minimise the expected {\it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {\it value} of the stopped variable under the rule optimal…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
Three notions of random stopping times exist in the literature. We introduce two concepts of equivalence of random stopping times, motivated by optimal stopping problems and stopping games respectively. We prove that these two concepts…
In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…
We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
Optimal stopping problems give rise to random distributions describing how many applicants the decision-maker will sample or interview before choosing one, a quantity sometimes referred to as the search time or process duration. This…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…