相关论文: Optimal Stopping with Rank-Dependent Loss

We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…

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…

We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…

We study sequential experiments where sampling is costly and a decision-maker aims to determine the best treatment for full scale implementation by (1) adaptively allocating units between two possible treatments, and (2) stopping the…

We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…

We study a speculative trading problem within the exploratory reinforcement learning (RL) framework of Wang et al. [2020]. The problem is formulated as a sequential optimal stopping problem over entry and exit times under general utility…

A temporally abstract action, or an option, is specified by a policy and a termination condition: the policy guides option behavior, and the termination condition roughly determines its length. Generally, learning with longer options (like…

In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…

We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…

We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…

Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…

Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised family of such problems. We provide a general theory of parameter…

In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…

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…

The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…

The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…

In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller…

In this note we propose a new approach towards solving numerically optimal stopping problems via reinforced regression based Monte Carlo algorithms. The main idea of the method is to reinforce standard linear regression algorithms in each…

This paper considers a variation of the full-information secretary problem where the random variables to be observed are independent but not necessary identically distributed. The main result is a sharp lower bound for the optimal win…

We study a class of optimal allocation problems, including the well-known Bomber Problem, with the following common probabilistic structure. An aircraft equipped with an amount~$x$ of ammunition is intercepted by enemy airplanes arriving…