Related papers: Optimal Stopping of Branching Diffusion Processes
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…
Driven by diverse applications, several recent models impose randomly switching boundary conditions on either a PDE or SDE. The purpose of this paper is to provide tools for calculating statistics of these models and to establish a…
We propose and analyze a one-dimensional multi-species cross-diffusion system with non-zero-flux boundary conditions on a moving domain, motivated by the mod- eling of a Physical Vapor Deposition process. Using the boundedness by entropy…
Optimal stopping problems consider the question of deciding when to stop an observation-generating process in order to maximize a return. We examine the problem of simultaneously learning and planning in such domains, when data is collected…
In this work we propose a nonlinear stabilization technique for convection-diffusion-reaction and pure transport problems discretized with space-time isogeometric analysis. The stabilization is based on a graph-theoretic artificial…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
We formulate a class of velocity-free finite-particle methods for mass transport problems based on a time-discrete incremental variational principle that combines entropy and the cost of particle transport, as measured by the Wasserstein…
We consider the value function of a stochastic optimal control of degenerate diffusion processes in a domain $D$. We study the smoothness of the value function, under the assumption of the non-degeneracy of the diffusion term along the…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown.…
In this paper, we analyze the quality of a large class of simple dynamic resource allocation (DRA) strategies which we name priority planning. Their aim is to control an undesired diffusion process by distributing resources to the…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
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 work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…
We consider a system of two singularly perturbed Boundary Value Problems (BVPs) of convection-diffusion type with discontinuous source terms and a small positive parameter multiplying the highest derivatives. Then their solutions exhibit…