Related papers: General Optimal Stopping with Linear Costs

In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…

This paper studies an optimal stopping problem for L\'evy processes. We give a justification of the form of the Snell envelope using standard results of optimal stopping. We also justify the convexity of the value function, and without a…

This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…

The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…

The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…

Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…

In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…

In this paper, we focus on formal synthesis of control policies for finite Markov decision processes with non-negative real-valued costs. We develop an algorithm to automatically generate a policy that guarantees the satisfaction of a…

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…

Constrained Markov decision processes (CMDPs) are used as a decision-making framework to study the long-run performance of a stochastic system. It is well-known that a stationary optimal policy of a CMDP problem under discounted cost…

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…

We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.

This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…

First-order methods are often analyzed via their continuous-time models, where their worst-case convergence properties are usually approached via Lyapunov functions. In this work, we provide a systematic and principled approach to find and…

In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…

We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the…

As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…

This paper discusses the discrete-time mean-field stochastic linear quadratic optimal control problems, whose weighting matrices in the cost functional are not assumed to be definite. The open-loop solvability is characterized by the…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

We study optimal Markovian couplings of Markov processes, where the optimality is understood in terms of minimization of concave transport costs between the time-marginal distributions of the coupled processes. We provide explicit…