Related papers: On the smooth-fit property for one-dimensional opt…

This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the $d$-dimensional Wiener process. We first obtain some verification theorems for…

The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…

In a recent paper (see [7]), a quasi-nonlocal coupling method was introduced to seamlessly bridge a nonlocal diffusion model with the classical local diffusion counterpart in a one-dimensional space. The proposed coupling framework removes…

We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…

We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…

We consider the problem of detecting change-points in univariate time series by fitting a continuous piecewise linear signal using the residual sum of squares. Values of the inferred signal at slope breaks are restricted to a finite set of…

This paper studies the time optimal control problem for systems of heat equations coupled by a pair of constant matrices. The control constraint is of the ball-type, while the target is the origin of the state space. We obtain an upper…

We study a 2D potential flow of an ideal fluid with a free surface with decaying conditions at infinity. By using the conformal variables approach, we study a particular solution of Euler equations having a pair of square-root branch points…

Controlling the shape and position of moving and pinned droplets on a solid surface is an important feature often found in microfluidic applications. In this work, we consider a well investigated phase field model including contact line…

We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…

We study existence and uniqueness of the fixed points solutions of a large class of non-linear variable discounted transfer operators associated to a sequential decision-making process. We establish regularity properties of these solutions,…

We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…

In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…

The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…

This note is devoted to continuity results of the time derivative of the solution to the one-dimensional parabolic obstacle problem with variable coefficients. It applies to the smooth fit principle in numerical analysis and in financial…

When considering a general system of equations describing the space-time evolution (flow) of one or several variables, the problem of the optimization over a finite period of time of a measure of the state variable at the final time is a…

This paper deals with the problem of asymptotically optimal detection of changes in regime-switching stochastic models. We need to divide the whole obtained sample of data into several sub-samples with observations belonging to different…

We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…

In this paper, we investigate an optimal design problem motivated by some issues arising in population dynamics. In a nutshell, we aim at determining the optimal shape of a region occupied by resources for maximizing the survival ability of…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…