相关论文: On the smooth-fit property for one-dimensional opt…

We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…

The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…

In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…

We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…

We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary ($g_{ij}(t,x)\geq 0$). We show existence of the optimal strategy, and give when…

This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion…

A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

In this research note we provide a variational basis for the optimal artificial diffusion method, which has been a cornerstone in developing many stabilized methods. The optimal artificial diffusion method produces exact nodal solutions…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…

We consider optimal stopping problems with finite-time horizon and state-dependent discounting. The underlying process is a one-dimensional linear diffusion and the gain function is time-homogeneous and difference of two convex functions.…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…

We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…

In this paper we use viscosity approach to provide an explicit solution to the problem of a two - player switching game. We characterize the switching regions which reduce the switching problem into one of finding a finite number of…

We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…

This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…

This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…