相关论文: Timing Options for a Startup with Early Terminatio…

We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…

We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying…

American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…

This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…

The problem of scheduling with testing in the framework of explorable uncertainty models environments where some preliminary action can influence the duration of a task. In the model, each job has an unknown processing time that can be…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

In this work, we consider the problem of autonomously discovering behavioral abstractions, or options, for reinforcement learning agents. We propose an algorithm that focuses on the termination condition, as opposed to -- as is common --…

Autonomous crypto trading systems often spend most of their design effort on finding entries, while exits are left to fixed rules that are rarely tested in a systematic way. This paper examines whether better stop-loss and take-profit…

In this study, we investigate a scheduling problem on identical machines in which jobs require initial setup before execution. We assume that an algorithm can dynamically form a batch (i.e., a collection of jobs to be processed together)…

Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…

In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…

In this work, we study a single-machine scheduling problem that aims at minimizing the total cost of a schedule subject to start-time dependent costs. This framework naturally captures scenarios where costs fluctuate throughout the day,…

We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach…

We explore the machine-minimizing job scheduling problem, which has a rich history in the line of research, under an online setting. We consider systems with arbitrary job arrival times, arbitrary job deadlines, and unit job execution time.…

The interval scheduling problem is one variant of the scheduling problem. In this paper, we propose a novel variant of the interval scheduling problem, whose definition is as follows: given jobs are specified by their {\em release times},…

The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal…

In many use cases the execution time of tasks is unknown and can be chosen by the designer to increase or decrease the application features depending on the availability of processing capacity. If the application has real-time constraints,…

We study the termination problem for nondeterministic recursive probabilistic programs. First, we show that a ranking-supermartingales-based approach is both sound and complete for bounded terminiation (i.e., bounded expected termination…

This work introduces a novel blackbox optimization algorithm for computationally expensive constrained multi-fidelity problems. When applying a direct search method to such problems, the scarcity of feasible points may lead to numerous…

In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…