相关论文: Solving optimal stopping problems for L\'evy proce…

This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…

We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward…

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential L\'evy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic…

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…

We consider the optimal prediction problem of stopping a spectrally negative L\'evy process as close as possible to a given distance $b \geq 0$ from its ultimate supremum, under a squared error penalty function. Under some mild conditions,…

Let X_t, 0<=t<=T be a one-dimensional stochastic process with independent and stationary increments. This paper considers the problem of stopping the process X_t "as close as possible" to its eventual supremum M_T:=sup{X_t: 0<=t<=T}, when…

We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…

We consider a finite-horizon linear-quadratic optimal control problem where only a limited number of control messages are allowed for sending from the controller to the actuator. To restrict the number of control actions computed and…

The optimal stopping problem is a category of decision problems with a specific constrained configuration. It is relevant to various real-world applications such as finance and management. To solve the optimal stopping problem,…

The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…

We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…

We consider impulse control of stochastic functional differential equations (SFDEs) driven by L\'evy processes under an additional $L^p$-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic…

Online reinforcement learning in infinite-horizon Markov decision processes (MDPs) remains less theoretically and algorithmically developed than its episodic counterpart, with many algorithms suffering from high ``burn-in'' costs and…

We consider the discrete time infinite horizon average reward restless markovian bandit (RMAB) problem. We propose a \emph{model predictive control} based non-stationary policy with a rolling computational horizon $\tau$. At each time-slot,…

We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value process can be represented by means of a backward stochastic differential equation (BSDE), defined on an enlarged probability space, containing…

We consider a vibrating string that is fixed at one end with Neumann control action at the other end. We investigate the optimal control problem of steering this system from given initial data to rest, in time T , by minimizing an objective…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as…

Model Predictive Control has emerged as a popular tool for robots to generate complex motions. However, the real-time requirement has limited the use of hard constraints and large preview horizons, which are necessary to ensure safety and…

We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and the discount rate can be positive or negative. The…