Related papers: Stability of Time-inconsistent Stopping for One-di…
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the…
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
This paper deals with the stability analysis of a nonlinear time-delayed dispersive equation of order four. First, we prove the well-posedness of the system and give some regularity results. Then, we show that the zero solution of the…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181,…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
Electro-energy-reaction-diffusion systems are thermodynamically consistent continuum models for reaction-diffusion processes that account for temperature and electrostatic effects in a way that total charge and energy are conserved. The…
Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…
We discuss the analysis and stability of a family of cross-diffusion boundary value problems with nonlinear diffusion and drift terms. We assume that these systems are close, in a suitable sense, to a set of decoupled and linear problems.…
We consider optimal stopping problems with finite-time horizon and state-dependent discounting. The underlying process is a one-dimensional linear diffusion and the gain function is time-homogeneous and difference of two convex functions.…
In this paper, we investigate solution stability for control problems of partial differential equations with the cost functional not involving the usual quadratic term for the control. We first establish a sufficient optimality condition…
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the…
This paper contains two main contributions. First, it provides optimal stability estimates for advection-diffusion equations in a setting in which the velocity field is Sobolev regular in the spatial variable. This estimate is formulated…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral representation of this function by utilizing the explicitly…