相关论文: Optimal stopping for dynamic risk measures with ju…

We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…

We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…

We study the problem of optimal stopping of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). We obtain sufficient variational inequalities for a…

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…

In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…

We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…

This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…

We construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs). The results…

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…

We consider an optimal control problem for piecewise deterministic Markov processes (PDMPs) on a bounded state space. The control problem under study is very general: a pair of controls acts continuously on the deterministic flow and on the…

This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…

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…

We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…

We study a combined optimal control/stopping problem under a nonlinear expectation ${\cal E}^f$ induced by a BSDE with jumps, in a Markovian framework. The terminal reward function is only supposed to be Borelian. The value function $u$…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution…

Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the…

In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan option, within the so-called exploratory formulation. We…

We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show existence…