Related papers: Double continuation regions for American options u…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
We consider the problem of detecting a `bump' in the intensity of a Poisson process or in a density. We analyze two types of likelihood ratio based statistics which allow for exact finite sample inference and asymptotically optimal…
We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forward interest rates. First we show regularity properties of…
Stationary stochastic processes with independent increments, of which the Poisson process is a prominent example, are widely used to describe real world events. With the basic assumption that a counting process is stationary and has…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
Sequential estimation of a vector of linear regression coefficients is considered under both centralized and decentralized setups. In sequential estimation, the number of observations used for estimation is determined by the observed…
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 study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…
Bayesian optimization has been proposed as a practical and efficient tool through which to tune parameters in many difficult settings. Recently, such techniques have been combined with real-time fMRI to propose a novel framework which turns…
We show that "full-bang" control is optimal in a problem that combines features of (i) sequential least-squares {\it estimation} with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded {\it control} of…
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…
In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(\phi(\tau ),\;\;\tau \in \stopo)$ of non negative random variables indexed by predictable stopping times. We treat the problem by means…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is…
General sufficient conditions are given for absolute continuity and convergence in variation of the distributions of the unctionals on a probability space, generated by a Poisson point measure. The phase space of the Poisson point measure…
We consider stopping criteria that balance algebraic and discretization errors for the conjugate gradient algorithm applied to high-order finite element discretizations of Poisson problems. Firstly, we introduce a new stopping criterion…
Despite significant advancements in machine learning for derivative pricing, the efficient and accurate valuation of American options remains a persistent challenge due to complex exercise boundaries, near-expiry behavior, and intricate…