相关论文: A recursive algorithm for selling at the ultimate …

This note provides upper bounds on the number of operations required to compute by value iterations a nearly optimal policy for an infinite-horizon discounted Markov decision process with a finite number of states and actions. For a given…

We prove simple general formulas for expectations of functions of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inverse $Z$-transform, the Fourier/Laplace inversion and…

We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…

We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short…

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…

Optimization problem, nowadays, have more application in all major but they have problem in computation. Calculation of the optimum point in the spaces with the above dimensions is very time consuming. In this paper, there is presented a…

We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a path-dependent manner. For optimal stopping problems with…

We consider reinforcement learning in changing Markov Decision Processes where both the state-transition probabilities and the reward functions may vary over time. For this problem setting, we propose an algorithm using a sliding window…

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…

This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…

We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…

We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by a homogeneous continuous time Markov chain. Under this new…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

Switching time optimization arises in finite-horizon optimal control for switched systems where, given a sequence of continuous dynamics, one minimizes a cost function with respect to the switching times. We propose an efficient method for…

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…

We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…

We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is equivalent to stopping a Brownian bridge pinned at a random…

In a classical problem for the stopping of a diffusion process $(X_t)_{t \geq 0}$, where the goal is to maximise the expected discounted value of a function of the stopped process ${\mathbb E}^x[e^{-\beta \tau}g(X_\tau)]$, maximisation…

In this paper we examine non-convex dynamic optimization problems with forward looking constraints. We prove that the recursive multiplier formulation in \cite{marcet2019recursive} gives the optimal value if one assumes that the planner has…

This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the regime-modulated refraction-reflection…