Related papers: Risk sensitive optimal stopping
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of maximum representation type, conditions are given to…
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…
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…
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 formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
In this Note we study optimal stopping problems for strong Markov processes and affine functions. We give a justification of the Snell envelope form using standard results of optimal stopping. We also justify the convexity of the value…
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,\infty],…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic…
This paper attempts to study the optimal stopping time for semi-Markov processes (SMPs) under the discount optimization criteria with unbounded cost rates. In our work, we introduce an explicit construction of the equivalent semi-Markov…
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the…
This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the…