Related papers: Optimal Stopping for the Uniform Distribution
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
Nonuniform subsampling methods are effective to reduce computational burden and maintain estimation efficiency for massive data. Existing methods mostly focus on subsampling with replacement due to its high computational efficiency. If the…
In the uniformity testing task, an algorithm is provided with samples from an unknown probability distribution over a (known) finite domain, and must decide whether it is the uniform distribution, or, alternatively, if its total variation…
We consider the non-linear optimal multiple stopping problem under general conditions on the non-linear evaluation operators, which might depend on two time indices: the time of evaluation/assessment and the horizon (when the reward or loss…
The (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. Algorithms are proposed to detect changes in such i.p.i.d.…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
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…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
In [1] we consider an optimal control problem subject to a semilinear elliptic PDE together with its variational discretization, where we provide a condition which allows to decide whether a solution of the necessary first order conditions…
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…
We take a unifying approach to single selection optimal stopping problems with random arrival order and independent sampling of items. In the problem we consider, a decision maker (DM) initially gets to sample each of $N$ items…
In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
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…
The last success problem is an optimal stopping problem that aims to maximize the probability of stopping on the last success in a sequence of independent $n$ Bernoulli trials. In the classical setting where complete information about the…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…