Related papers: A new approach to optimal stopping for Hunt proces…

In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to…

This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…

We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a viscosity sub-solution which dominates the upper value of…

We consider Dynkin games for Markov processes associated with semi-Dirichlet forms. Dynkin games are the optimal stopping games introduced as the models of zero-sum games by two players. We prove that the solution to the certain variational…

We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in…

This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are…

We investigate the optimal stopping problems involving the supremum of a diffusion. The starting point is the link between works of Peskir and Meilijson, which we describe in a unified manner. The description developped follows mainly the…

We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…

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…

The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…

In this paper we study optimal stopping problems with respect to distorted expectations of the form \begin{eqnarray*} \mathcal{E}(X)=\int_{-\infty}^{\infty} x\,dG(F_X(x)), \end{eqnarray*} where $F_X$ is the distribution function of $X$ and…

Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…

We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value…

A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…

We study the problem of optimal stopping of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). We obtain sufficient variational inequalities for a…

This article provides quasi-optimal a priori error estimates for an optimal control problem constrained by an elliptic obstacle problem where the finite element discretization is carried out using the symmetric interior penalty…

In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller…

We propose an alternative approach for solving a number of well-studied optimal stopping problems for L\'evy processes. Instead of the usual method of guess-and-verify based on martingale properties of the value function, we suggest a more…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…

In-medium Yukawa theory is part of the thermodynamics of the Standard Model of particle physics and is one of the main building blocks of most effective field theories of fermionic systems. By computing its pressure we investigate the…