Related papers: The Obstacle Problem Arising from the American Cho…
In this article, we consider a risky asset $X$ for which evolution follows a model proposed by D.G. Hobson and L.C.G. Rogers\cite{HR98}. We assume that the volatility of $X$ depends on the ratio of the present value and the exponentially…
We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically…
The aim of this paper is twofold: to prove, for L^1-data, the existence and uniqueness of an entropy solution to the obstacle problem for nonlinear elliptic equations with variable growth, and to show some convergence and stability…
In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…
Mixed variational formulations for the first-order system of the elastic membrane obstacle problem and the second-order system of the Kirchhoff--Love plate obstacle problem are proposed. The force exerted by the rigid obstacle is included…
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more pro-actively…
The satisfiability problem of hybrid logics with the downarrow binder is known to be undecidable. This initiated a research program on decidable and tractable fragments. In this paper, we investigate the effect of restricting the…
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…
An obstacle representation of a graph $G$ consists of a set of pairwise disjoint simply-connected closed regions and a one-to-one mapping of the vertices of $G$ to points such that two vertices are adjacent in $G$ if and only if the line…
The Constraint Satisfaction Problem (CSP) framework offers a simple and sound basis for representing and solving simple decision problems, without uncertainty. This paper is devoted to an extension of the CSP framework enabling us to deal…
We study the inverse problem of determining a Signorini obstacle from boundary measurements for the isotropic elasticity system. We prove that the obstacle can be uniquely determined by a single measurement of displacement and normal stress…
In this paper, we introduce two novel methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural…
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We…
Two neural-network-based numerical schemes are proposed to solve the classical obstacle problems. The schemes are based on the universal approximation property of neural networks, and the cost functions are taken as the energy minimization…
We study the regularity of solutions to the obstacle problem for the parabolic biharmonic equation. We analyze the problem via an implicit time discretization, and we prove some regularity properties of the solution.
In this work, we investigate the application of Reinforcement Learning to two well known decision dilemmas, namely Newcomb's Problem and Prisoner's Dilemma. These problems are exemplary for dilemmas that autonomous agents are faced with…
The characterization of global solutions to the obstacle problems in $\mathbb{R}^N$, or equivalently of null quadrature domains, has been studied over more than 90 years. In this paper we give a conclusive answer to this problem by proving…
We consider the periodic Manhattan lattice with alternating orientations going north-south and east-west. Place obstructions on vertices independently with probability $0<p<1$. A particle is moving on the edges with unit speed following the…
We present a unified approach for constraint displacement problems in which a robot finds a feasible path by displacing constraints or obstacles. To this end, we propose a two stage process that returns locally optimal obstacle…
We generalize the well-known broken stick problem in several ways, including a discrete "brick" analogue and a sequential "pick-up sticks/bricks" version. The limit behavior of the broken brick problem gives a combinatorial proof of the…