Related papers: Optimal Stopping for the Uniform Distribution
We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
We introduce a simple and efficient algorithm for stochastic linear bandits with finitely many actions that is asymptotically optimal and (nearly) worst-case optimal in finite time. The approach is based on the frequentist…
We consider the design of systems for sequential decentralized detection, a problem that entails several interdependent choices: the choice of a stopping rule (specifying the sample size), a global decision function (a choice between two…
We consider solutions of the repulsive Vlasov-Poisson system which are a combination of a point charge and a small gas, i.e.\ measures of the form $\delta_{(\mathcal{X}(t),\mathcal{V}(t))}+\mu^2d{\bf x}d{\bf v}$ for some $(\mathcal{X},…
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space $[0,T]\times\mathbb{R}^d$, $d\ge 1$. To the best of our knowledge this is the only existing proof…
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
We consider the Gittins index for a normal distribution with unknown mean $\theta$ and known variance where $\theta$ has a normal prior. In addition to presenting some monotonicity properties of the Gittins index, we derive an approximation…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
This article considers a discrete-time robust optimal control problem on matrix Lie groups. The underlying system is assumed to be perturbed by exogenous unmeasured bounded disturbances, and the control problem is posed as a min-max optimal…
We give asymptotic lower bounds of the value for Bruss' optimal stopping problem with multiple stopping chances. It interestingly consists of the asymptotic threshold values in the optimal multiple stopping strategy. Another interesting…