Related papers: General Optimal Stopping with Linear Costs
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…
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 article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…
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…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a general Borel space and with compact action space depending on the state variable. The control…
In the literature on optimal stopping, the problem of maximizing the expected discounted reward over all stopping times has been explicitly solved for some special reward functions (including $(x^+)^{\nu}$, $(e^x-K)^+$, $(K-e^{-x})^+$,…
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…
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 impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…
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…
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…
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…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
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…
This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in capped versions of the American lookback optimal stopping problem, which has its…