相关论文: Solving optimal stopping problems for L\'evy proce…
We consider the optimal stopping problem $v^{(\eps)}:=\sup_{\tau\in\mathcal{T}_{0,T}}\mathbb{E}B_{(\tau-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic Optimization Problems organized by the Steklov…
Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…
The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N-1. While…
We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set $\mathcal{O}$. The stopping horizon is either random, equal…
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…
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…
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…
We propose a new model for formalizing reward collection problems on graphs with dynamically generated rewards which may appear and disappear based on a stochastic model. The *robot routing problem* is modeled as a graph whose nodes are…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
We investigate optimal stopping problems for systems driven by the Brownian sheet. Our analysis is divided into two parts. In the first part we derive explicit solutions to two optimal stopping problems for the exponentially discounted…
This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…