相关论文: On Asymptotics of Optimal Stopping Times

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…

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 note considers a variation of the full-information secretary problem where the random variables to be observed are independent and identically distributed. Consider $X_1,\dots,X_n$ to be an independent sequence of random variables, let…

The problem of joint detection and lossless source coding is considered. We derive asymptotically optimal decision rules for deciding whether or not a sequence of observations has emerged from a desired information source, and to compress…

In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…

We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…

We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not…

The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…

An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…

We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…

We introduce a simple and efficient algorithm for stochastic linear bandits with finitely many actions that is asymptotically optimal and (nearly) worst-case optimal in finite time. The approach is based on the frequentist…

Motivated by applications of statistical mechanics in which the system of interest is spatially unconfined, we present an exact solution to the maximum entropy problem for assigning a stationary probability distribution on the phase space…

Analysis of experimental data must sometimes deal with abrupt changes in the distribution of measured values. Setting upper limits on signals usually involves a veto procedure that excludes data not described by an assumed statistical…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…

This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…

The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…

Consider the problem of maximizing the probability of stopping with one of the two highest values in a Bernoulli random walk with arbitrary parameter $p$ and finite time horizon $n$. Allaart \cite{Allaart} proved that the optimal strategy…

We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…

We consider the large time asymptotic behavior of the global solutions to the initial value problem for the nonlinear damped wave equation with slowly decaying initial data. When the initial data decay fast enough, it is known that the…