Related papers: A new approach to optimal stopping for Hunt proces…
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
A new class of Hermite methods for solving nonlinear conservation laws is presented. While preserving the high order spatial accuracy for smooth solutions in the existing Hermite methods, the new methods come with better stability…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
In this paper, we describe a novel approach for checking safety specifications of a dynamical system with exogenous inputs over infinite time horizon that is guaranteed to terminate in finite time with a conclusive answer. We introduce the…
The paper proposes a scheme by combining the Runge-Kutta discontinuous Galerkin method with a {\delta}-mapping algorithm for solving hyperbolic conservation laws with discontinuous fluxes. This hybrid scheme is particularly applied to…
In optimal stopping problems, a Markov structure guarantees Markovian optimal stopping times (first exit times). Surprisingly, there is no analogous result for Markovian stopping games once randomization is required. This paper addresses…
In this paper, we propose a new hybridized discontinuous Galerkin (DG) method for the convection-diffusion problems with mixed boundary conditions. A feature of the proposed method, is that it can greatly reduce the number of…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
Wormhole propagation plays a very important role in the product enhancement of oil and gas reservoir. A new combined hybrid mixed finite element method is proposed to solve incompressible wormhole propagation problem with discontinuous…
We address on general quantum-statistical grounds the problem of optimal detection of the Unruh-Hawking effect. We show that the effect signatures are magnified up to potentially observable levels if the scalar field to be probed has high…
In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…
In this paper we study the optimal stopping problem for L\'evy processes studied by Novikov and Shiryayev, Stochastics, 2007 In particular, we are interested in finding the representing measure of the value function. It is seen that that…
The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…
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…
In this paper, a new stabilized discontinuous Galerkin method within a new function space setting is introduced, which involves an extra stabilization term on the normal fluxes across the element interfaces. It is different from the general…
We present a novel discontinuous Galerkin algorithm for the solution of a class of Fokker-Planck collision operators. These operators arise in many fields of physics, and our particular application is for kinetic plasma simulations. In…
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive…
In this paper, we propose to apply the parametrized maximum-principle-preserving (MPP) flux limiter in [Xiong et. al., JCP, 2013] to the discontinuous Galerkin (DG) method for solving the convection-diffusion equations. The feasibility of…
In this work, we propose a novel machine learning approach to compute the optimal transport map between two continuous distributions from their unpaired samples, based on the DeepParticle methods. The proposed method leads to a min-min…