Related papers: Optimal Stopping for the Uniform Distribution
In this paper, we solve the existence problem of optimal stopping problem under some kind of nonlinear expectation named g_\Gamma expectation which was recently introduced in Peng, S.G. and Xu, M.Y. [8]. Our method based on our preceding…
This article presents a general and novel approach to the automation of goal-oriented error control in the solution of nonlinear stationary finite element variational problems. The approach is based on automated linearization to obtain the…
In this paper we present an information theoretic approach to stochastic optimal control problems for systems with compound Poisson noise. We generalize previous work on information theoretic path integral control to discontinuous dynamics…
This paper investigates solution stability properties of unregularized tracking-type optimal control problems constrained by the Boussinesq system. In our model, the controls may appear linearly and distributed in both of the equations that…
We consider the problem of robotic planning under uncertainty in this paper. This problem may be posed as a stochastic optimal control problem, a solution to which is fundamentally intractable owing to the infamous "curse of…
In this paper, an optimal output consensus problem is studied for discrete-time linear multiagent systems subject to external disturbances. Each agent is assigned with a local cost function which is known only to itself. Distributed…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
Suppose $N$ independent Bernoulli trials are observed sequentially at random times of a mixed binomial process. The task is to maximise, by using a nonanticipating stopping strategy, the probability of stopping at the last success. We focus…
The main objective of this article is to present Bayesian optimal control over a class of non-autonomous linear stochastic discrete time systems with disturbances belonging to a family of the one parameter uniform distributions. It is…
In this paper we develop a unified approach for solving a wide class of sequential selection problems. This class includes, but is not limited to, selection problems with no-information, rank-dependent rewards, and considers both fixed as…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
We explore the question of how to learn an optimal search strategy within the example of a parking problem where parking opportunities arrive according to an unknown inhomogeneous Poisson process. The optimal policy is a threshold-type…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
We study the statistical properties of the entropic optimal (self) transport problem for smooth probability measures. We provide an accurate description of the limit distribution for entropic (self-)potentials and plans as the…