相关论文: On randomized stopping

We study an iterative regularization method of optimal control problems with control constraints. The regularization method is based on generalized Bregman distances. We provide convergence results under a combination of a source condition…

In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the…

We discuss the optimal Markovian coupling before an exponential time of the Kolmogorov diffusion, and a class of related stochastic control problems in which the aim is to hit the origin before an exponential time. We provide a scaling…

We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…

This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…

We present an explicit solution to the discrete-time Bellman equation for minimax optimal control of positive systems under unconstrained disturbances. The primary contribution of our result relies on deducing a bound for the disturbance…

We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location---inter-arrival time Markov…

This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…

An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…

We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and…

We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.

We investigate the optimal stopping problems involving the supremum of a diffusion. The starting point is the link between works of Peskir and Meilijson, which we describe in a unified manner. The description developped follows mainly the…

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…

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…

We consider a system of diffusion processes interacting through their empirical distribution. Assuming that the empirical average of a given observable can be observed at any time, we derive regularity and quantitative stability results for…

Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…

We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…

This article is a continuation of a previous work where we studied infinite horizon control problems for which the dynamic, running cost and control space may be different in two half-spaces of some euclidian space $\R^N$. In this article…