Related papers: Optimal Stopping for the Uniform Distribution
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 study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…
The main objective of this paper is a study of the asymptotic behavior of distributional solutions to the one-dimensional repulsive pressureless Euler-Poisson system. The system is a model for the dynamics of a mass distribution evolving on…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
Time Optimal Path Parametrization is the problem of minimizing the time interval during which an actuation constrained agent can traverse a given path. Recently, an efficient linear-time algorithm for solving this problem was proposed.…
We investigate the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution in a sequential setup. The aim is to jointly infer the true hypothesis and the true parameter while using on…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
In this paper we study finite velocity planar random motions with an infinite number of possible directions, where the number of changes of direction is randomized by means of an inhomogeneous fractional Poisson distribution. We first…
In Robbins' problem of minimizing the expected rank, a finite sequence of $n$ independent, identically distributed random variables are observed sequentially and the objective is to stop at such a time that the expected rank of the selected…
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
Given a sequence of independent random variables with a common continuous distribution, we consider the online decision problem where one seeks to minimize the expected value of the time that is needed to complete the selection of a…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
We present an asymptotic control theory for a system of an arbitrary number of linear oscillators under a common bounded control. We suggest a design method of a feedback control for this system. By using the DiPerna-Lions theory of…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…