相关论文: An exit contract optimization problem

This paper studies an optimal ON-OFF control problem for a class of discrete event systems with real-time constraints. Our goal is to minimize the overall costs, including the operating cost and the wake-up cost, while still guaranteeing…

We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton…

In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…

Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…

A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…

The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…

The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…

In this paper, we introduce regularized stochastic team problems. Under mild assumptions, we prove that there exists an unique fixed point of the best response operator, where this unique fixed point is the optimal regularized team decision…

This paper studies optimal consensus tracking problem of heterogeneous linear multi-agent systems. By introducing tracking error dynamics, the optimal tracking problem is reformulated as finding a Nash-equilibrium solution of a multi-player…

Given a stochastic state process $(X_t)_t$ and a real-valued submartingale cost process $(S_t)_t$, we characterize optimal stopping times $\tau$ that minimize the expectation of $S_\tau$ while realizing given initial and target…

In this paper, multi-agent systems minimizing a sum of objective functions, where each component is only known to a particular node, is considered for continuous-time dynamics with time-varying interconnection topologies. Assuming that each…

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…

Two robots stand at the origin of the infinite line and are tasked with searching collaboratively for an exit at an unknown location on the line. They can travel at maximum speed $b$ and can change speed or direction at any time. The two…

We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…

Distributed optimization problems have received much attention due to their privacy preservation, parallel computation, less communication, and strong robustness. This paper presents and studies the time-varying distributed optimization…

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…

This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…

We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of…

The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…

Optimal stopping problems give rise to random distributions describing how many applicants the decision-maker will sample or interview before choosing one, a quantity sometimes referred to as the search time or process duration. This…