Related papers: A new approach to optimal stopping for Hunt proces…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…
The absence of an algorithm that effectively monitors deep learning models used in side-channel attacks increases the difficulty of evaluation. If the attack is unsuccessful, the question is if we are dealing with a resistant implementation…
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff…
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately optimal way to achieve improved finite-sample performance. We…
In this paper, we solve the existence problem of optimal stopping problem under some kind of nonlinear expectation named g_\Gamma expectation which was recently introduced in Peng, S.G. and Xu, M.Y. [8]. Our method based on our preceding…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We present a robust and accurate numerical method to solve the modified Buckley-Leverett equation in two-phase porous media flow with dynamic capillary pressure effect. A symmetric interior penalty discontinuous Galerkin method is used to…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We consider a class of discretionary stopping problems within the $G$-framework. We first establish the well-definedness of the stopping problem under the $G$-expectation, by showing the quasi-continuity of the stopped process. We then…
A discontinuous Galerkin method for the ideal 5 moment two-fluid plasma system is presented. The method uses a second or third order discontinuous Galerkin spatial discretization and a third order TVD Runge-Kutta time stepping scheme. The…
The numerical approximation of an inverse problem subject to the convection--diffusion equation when diffusion dominates is studied. We derive Carleman estimates that are on a form suitable for use in numerical analysis and with explicit…
In this paper we present new stability and optimal error analyses of hybridized discontinuous Galerkin (HDG) methods which do not require elliptic regularity assumptions. To obtain error estimates without elliptic regularity assumptions, we…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
In this study, we propose an algorithmic framework for solving a class of optimal control problems. This class is associated with the minimum-time interception of moving target problems, where a plant with a given state equation must…