Related papers: Optimal stopping problem under random horizon
Most clinical prediction studies are developed from retrospective cohorts and reported as if all patient information were observed at once. In practice, clinicians face a more consequential question: \emph{when is there already enough…
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau, where T is a deterministic constant and is a jump time of the underlying asset price process. We rst formulate this problem as a stochastic control…
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose both the starting time of the reinsurance contract and the…
We study the robust maximum flow problem and the robust maximum flow over time problem where a given number of arcs $\Gamma$ may fail or may be delayed. Two prominent models have been introduced for these problems: either one assigns flow…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
We investigate a well-known phenomenon of variational approaches in image processing, where typically the best image quality is achieved when the gradient flow process is stopped before converging to a stationary point. This paradox…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
The optimal stopping problem is a category of decision problems with a specific constrained configuration. It is relevant to various real-world applications such as finance and management. To solve the optimal stopping problem,…
We investigate how to control optimally a traffic flow through a junction on the line by acting only on speed reduction or traffic light at the junction. We show the existence of an optimal control and, under structure assumptions, provide…
We consider estimators obtained by iterates of the conjugate gradient (CG) algorithm applied to the normal equation of prototypical statistical inverse problems. Stopping the CG algorithm early induces regularisation, and optimal…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
We formulate and solve a free target optimal Brownian stopping problem from a given distribution while the target distribution is free and is conditioned to satisfy a given density height constraint. The free target optimization problem…
A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…
This paper focuses on a mean-field optimal stopping problem with non-Markov dynamics and common noise, inspired by Talbi, Touzi, and Zhang \cite{TalbiTouziZhang1,TalbiTouziZhang3}. The goal is to establish the limit theory and demonstrate…
This thesis is concerned with the stochastic filtering problem for a hidden Markov model (HMM) with the white noise observation model. For this filtering problem, we make three types of original contributions: (1) dual controllability…
We study the turnpike phenomenon for optimal control problems with mean field dynamics that are obtained as the limit $N\rightarrow \infty$ of systems governed by a large number $N$ of ordinary differential equations. We show that the…
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…