Zobrazeno 1 - 10
of 31 444
pro vyhledávání: '"Optimal Stopping"'
Autor:
Crocce, Fabian, Mordecki, Ernesto
Consider the discounted optimal stopping problem for a real valued Markov process with only positive jumps. We provide a theorem to verify that the optimal stopping region has the form {x >= x^*} for some critical threshold x^*, and a representation
Externí odkaz:
http://arxiv.org/abs/2411.08796
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical framework fo
Externí odkaz:
http://arxiv.org/abs/2411.06522
Optimal stopping is a fundamental problem in optimization that has found applications in risk management, finance, economics, and recently in the fields of computer science. We extend the standard framework to a multi-agent setting, named multi-agent
Externí odkaz:
http://arxiv.org/abs/2410.08850
Autor:
Mazzon, Andrea, Tankov, Peter
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a scenario from
Externí odkaz:
http://arxiv.org/abs/2408.09349
Autor:
Yang, Jiefei, Li, Guanglian
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which consists of subne
Externí odkaz:
http://arxiv.org/abs/2409.06937
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 represented b
Externí odkaz:
http://arxiv.org/abs/2408.09335
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random intervention times,
Externí odkaz:
http://arxiv.org/abs/2407.17975
Autor:
De Angelis, Tiziano, Lamberton, Damien
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 function is als
Externí odkaz:
http://arxiv.org/abs/2405.16636
We propose a deep learning algorithm for high dimensional optimal stopping problems. Our method is inspired by the penalty method for solving free boundary PDEs. Within our approach, the penalized PDE is approximated using the Deep BSDE framework pro
Externí odkaz:
http://arxiv.org/abs/2405.11392