相关论文: Optimal stopping of the stable process with state-…

We propose an alternative approach for solving a number of well-studied optimal stopping problems for L\'evy processes. Instead of the usual method of guess-and-verify based on martingale properties of the value function, we suggest a more…

We consider the optimal prediction problem of stopping a spectrally negative L\'evy process as close as possible to a given distance $b \geq 0$ from its ultimate supremum, under a squared error penalty function. Under some mild conditions,…

We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is…

We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.

We consider killed Markov decision processes for countable models on a finite time-interval. Existence of a uniform $\varepsilon$-optimal policy is proven. We show the correctness of the fundamental equation. The optimal control problem is…

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…

We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…

An aperiodic and irreducible Markov chain on a finite state space converges to its stationary distribution. When convergence to equilibrium is measured by total variation distance, there exists an optimal coupling and a maximal coupling…

This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…

This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…

This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…

We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…

This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…

Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…

We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…

This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of maximum representation type, conditions are given to…

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 consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative L\'evy process in an Omega model. n this model, the surplus is allowed to spend time below the critical ruin level, but is…

Consider a regenerative storage process with a nondecreasing L\'evy input (subordinator) such that every cycle may be split into two periods. In the first (off) the output is shut off and the workload accumulates. This continues until some…

Given a spectrally negative L\'evy process $X$ drifting to infinity, (inspired on the early ideas of Shiryaev (2002)) we are interested in finding a stopping time that minimises the $L^p$ distance ($p>1$) with $g$, the last time $X$ is…