Optimal Stopping Problems in Lévy Models with Random Observations
Sign Up to like & getrecommendations! Published in 2018 at "Acta Applicandae Mathematicae"
DOI: 10.1007/s10440-018-0212-z
Abstract: In the standard optimal stopping problems, actions are artificially restricted to the moments of observations of costs or benefits. In the standard experimentation and learning models based on two-armed Poisson bandits, it is possible to… read more here.
Keywords: random observations; models random; optimal stopping; stopping problems ... See more keywords
Analysis of an optimal stopping problem arising from hedge fund investing
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2019.123559
Abstract: Abstract We analyze the optimal withdrawal time for an investor in a hedge fund with a first-loss or shared-loss fee structure, given as the solution of an optimal stopping problem on the fund's assets with… read more here.
Keywords: hedge fund; optimal stopping; fund; stopping problem ... See more keywords
Optimal stopping of two-time scale Markovian systems: Analysis, numerical methods, and applications☆
Sign Up to like & getrecommendations! Published in 2017 at "Nonlinear Analysis: Hybrid Systems"
DOI: 10.1016/j.nahs.2017.05.005
Abstract: Abstract Numerous systems arising in applications are subject to uncertainty and stochastic influence. They are often of large scales and have complex structures. They may also display hybrid behavior represented by regime-switching dynamic systems. Exact… read more here.
Keywords: stopping two; analysis; two time; optimal stopping ... See more keywords
On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
Sign Up to like & getrecommendations! Published in 2019 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2018.08.005
Abstract: In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of L\'evy models with a continuous additive functional (CAF) discounting. Under spectrally negative… read more here.
Keywords: threshold type; optimality threshold; recursive optimal; type strategies ... See more keywords
Discrete-type approximations for non-Markovian optimal stopping problems: Part I
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2019.57
Abstract: Abstract We present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variational inequalities which allow us to… read more here.
Keywords: discrete type; non markovian; markovian optimal; optimal stopping ... See more keywords
Discounted optimal stopping problems in first-passage time models with random thresholds
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.85
Abstract: Abstract We derive closed-form solutions to some discounted optimal stopping problems related to the perpetual American cancellable dividend-paying put and call option pricing problems in an extension of the Black–Merton–Scholes model. The cancellation times are… read more here.
Keywords: discounted optimal; optimal stopping; problems first; stopping problems ... See more keywords
Dynamic programming for optimal stopping via pseudo-regression
Sign Up to like & getrecommendations! Published in 2020 at "Quantitative Finance"
DOI: 10.1080/14697688.2020.1780299
Abstract: We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo approximation of the corresponding inner products instead of the least-squares error functional. Coupled with… read more here.
Keywords: programming optimal; regression; optimal stopping; stopping via ... See more keywords
An Optimal Stopping Approach to Cell Selection in 5G Networks
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Access"
DOI: 10.1109/access.2019.2935512
Abstract: Initial cell search and selection is one of the first few essential steps that a mobile device must perform to access a mobile network. The traditional maximum received power based initial cell selection may result… read more here.
Keywords: initial cell; cell search; search selection; cell ... See more keywords
Path Planning With Spatiotemporal Optimal Stopping for Stochastic Mission Monitoring
Sign Up to like & getrecommendations! Published in 2017 at "IEEE Transactions on Robotics"
DOI: 10.1109/tro.2017.2653196
Abstract: We consider an optimal stopping formulation of the mission monitoring problem, in which a monitor vehicle must remain in close proximity to an autonomous robot that stochastically follows a predicted trajectory. This problem arises in… read more here.
Keywords: planning spatiotemporal; spatiotemporal optimal; optimal stopping; mission monitoring ... See more keywords
Optimal Scheduling in Asynchronous Coded Caching
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Vehicular Technology"
DOI: 10.1109/tvt.2021.3137214
Abstract: This paper studies a scheduling problem in decentralized coded caching considering sequential and random request arrivals. The asynchrony between the requests begets the question of when to launch network-coded multicast to serve the requests when… read more here.
Keywords: problem; optimal stopping; scheduling asynchronous; coded caching ... See more keywords
Interpretable Optimal Stopping
Sign Up to like & getrecommendations! Published in 2020 at "Management Science"
DOI: 10.1287/mnsc.2020.3592
Abstract: Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare, and marketing. State-o... read more here.
Keywords: finance; interpretable optimal; optimal stopping;