相关论文: Optimal stopping without Snell envelopes

Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on partial differential equation methods. In this paper, we…

This paper considers a general convex constrained problem setting where functions are not assumed to be differentiable nor Lipschitz continuous. Our motivation is in finding a simple first-order method for solving a wide range of convex…

We propose a necessary and sufficient test to determine whether a solution for a general quadratic program with two quadratic constraints (QC2QP) can be computed from that of a specific convex semidefinite relaxation, in which case we say…

In this paper, we prove new existence and multiplicity results for critical points of lower semicontinuous functionals in Banach spaces, complementing the nonsmooth critical point theory set forth by Szulkin and avoiding the need of the…

A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…

This paper uses the resolvent operator technique to investigate second-order non-autonomous neutral integrodifferential equations with impulsive conditions in a Banach space. We study the existence of a mild solution and the system's…

In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…

We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…

We develop an efficient method for solving non-convex constrained optimization problems that are pervasive in economics. The optimal solution to these problems often involves randomization. We employ a Lagrangian framework and prove that…

This paper deals with the finite-time stabilization of a class of nonlinear infinite-dimensional systems. First, we consider a bounded matched perturbation in its linear form. It is shown that by using a set-valued function, both the…

A coordinate-free proof of the Maximum Principle is provided in the specific case of an optimal control problem with fixed time. Our treatment heavily relies on a special notion of variation of curves that consist of a concatenation of…

The concept of a profile decomposition formalizes concentration compactness arguments on the functional-analytic level, providing a powerful refinement of the Banach-Alaoglu weak-star compactness theorem. We prove existence of profile…

Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…

Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal…

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 investigate existence of dual optimizers in one-dimensional martingale optimal transport problems. While [BNT16] established such existence for weak (quasi-sure) duality, [BHP13] showed existence for the natural stronger pointwise…

The optimal power flow (OPF) problem minimizes power system operating cost subject to both engineering and network constraints. With the potential to find global solutions, significant research interest has focused on convex relaxations of…

In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…

The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study data-driven optimal stopping for a general diffusion process,…

We study a general version of the adversarial online learning problem. We are given a decision set $\mathcal{X}$ in a reflexive Banach space $X$ and a sequence of reward vectors in the dual space of $X$. At each iteration, we choose an…