相关论文: The Obstacle Problem Arising from the American Cho…

The Orienteering Problem with Time Window and Delay (\OPTiWinD) is a variant of the online orienteering problem. A series of requests appear in various locations while a vehicle moves within the territory to serve them. Each request has a…

In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions rather than an RCLL process. We…

We consider a bilevel optimization problem in which the ground set is partitioned between two decision makers, a leader and a follower, whose optimization problems are interleaved. We study the Bilevel Independent Set problem, and its…

We present a probabilistic approach to the obstacle problem for for the $p$-Laplace operator. The solutions are approximated by running processes determined by tug-of-war games plus noise, and letting the step size go to zero, not unlike…

An \emph{obstacle representation} of a graph consists of a set of polygonal obstacles and a distinct point for each vertex such that two points see each other if and only if the corresponding vertices are adjacent. Obstacle representations…

Robbins' problem of optimal stopping asks one to minimise the expected {\it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {\it value} of the stopped variable under the rule optimal…

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…

We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…

In this paper we show that the optimal exercise boundary / free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at the maturity). This differentiability result has been…

In this paper we are concerned with a two-penalty boundary obstacle problem of interest in thermics, fluid dynamics and electricity. Specifically, we prove existence, uniqueness and optimal regularity of the solutions, and we establish…

In multiobjective optimization, most branch and bound algorithms provide the decision maker with the whole Pareto front, and then decision maker could select a single solution finally. However, if the number of objectives is large, the…

Uncertain dynamic obstacles, such as pedestrians or vehicles, pose a major challenge for optimal robot navigation with safety guarantees. Previous work on motion planning has followed two main strategies to provide a safe bound on an…

Autonomous driving requires reliable collision avoidance in dynamic environments. Nonlinear Model Predictive Controllers (NMPCs) are suitable for this task, but struggle in time-critical scenarios requiring high frequency. To meet this…

It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading prices (i.e., trades only occur if the…

We establish H\"older stability of an inverse hyperbolic obstacle problem. Mainly, we study the problem of reconstructing an unknown function defined on the boundary of the obstacle from two measurements taken on the boundary of a domain…

Many high-stakes AI deployments proceed only if every stakeholder deems the system acceptable relative to their own minimum standard. With randomization over a finite menu of options, this becomes a feasibility question: does there exist a…

Existence of solutions to an obstacle $p$-Laplacian problem exhibiting a singular, discontinuous reaction is proved. The reaction term may be discontinuous in a Lebesgue-negligible set. Moreover, solutions are shown to be locally…

We consider the approximation scheme of the American call option via the discrete Morse semiflow. It is the minimizing scheme of a time-semidiscretized variational functional. In this paper we obtain a rate of convergence of approximate…

We consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. Although this problem is very hard to solve exactly in the general case, we show that in some…

We study the obstacle problem associated with the Kolmogorov operator $\Delta_v - \partial_t - v\cdot\nabla_x$, which arises from the theory of optimal control in Asian-American options pricing models. Our first main contribution is to…