Cover Image

An exit contract optimization problem

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	He, Xihao, Tan, Xiaolu, Zou, Jun
Format:	Preprint
Published:	2021
Subjects:	Probability Optimization and Control 60G40, 60G07, 49M25
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On the limit theory of mean field optimal stopping with non-Markov dynamics and common noise
by: He, Xihao
Published: (2023)

A mean-field version of Bank-El Karoui's representation of stochastic processes
by: He, Xihao, et al.
Published: (2023)

On the optimal stopping problem for diffusions and an approximation result for stopping times
by: Cosso, Andrea, et al.
Published: (2025)

Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs
by: Perninge, Magnus
Published: (2024)

G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
by: He, Wei, et al.
Published: (2025)

Dam Management in the Era of Climate Change
by: Di Girolami, Cristina, et al.
Published: (2025)

Fractional Sobolev paths on Wasserstein spaces and their energy-minimizing particle representations
by: Abedi, Ehsan
Published: (2025)

Sensitivity of causal distributionally robust optimization
by: Jiang, Yifan, et al.
Published: (2024)

Heavy traffic limit of stationary distribution of the multi-level single server queue
by: Kobayashi, Masahiro, et al.
Published: (2025)

Heavy-traffic limit of stationary distributions of a state-dependent queue
by: Kobayashi, Masahiro, et al.
Published: (2026)

Mean-Field Games with two-sided singular controls for Lévy processes
by: Oliú, Facundo
Published: (2025)

Robust Exploratory Stopping under Ambiguity in Reinforcement Learning
by: Ye, Junyan, et al.
Published: (2025)

On the time consistent solution to optimal stopping problems with expectation constraint
by: Christensen, Sören, et al.
Published: (2023)

Stopping Times of Boundaries: Relaxation and Continuity
by: Soner, H. Mete, et al.
Published: (2023)

Optimal Stopping Under Model Uncertainty in a General Setting
by: Arharas, Ihsan, et al.
Published: (2023)

Unparalleled instances of prolifickness, random walks, and square root boundaries
by: Gerhold, Stefan, et al.
Published: (2025)

Stochastic Perturbation of Sweeping Processes Driven by Continuous Uniformly Prox-Regular Moving Sets
by: Garrido, Juan Guillermo, et al.
Published: (2026)

Occasionally Observed Piecewise-deterministic Markov Processes
by: Gee, Marissa, et al.
Published: (2024)

Small noise asymptotics for a class of jump-diffusions with heavy tails for large times
by: Anugu, Sumith Reddy, et al.
Published: (2026)

Zero-sum Dynkin games under common and independent Poisson constraints
by: Hobson, David, et al.
Published: (2024)

A potential-theoretic approach to optimal stopping in a spectrally Lévy Model
by: Egami, Masahiko, et al.
Published: (2025)

Optimal Stopping of Branching Diffusion Processes
by: Kharroubi, Idris, et al.
Published: (2024)

Mean field optimal stopping with uncontrolled state
by: Cosso, Andrea, et al.
Published: (2025)

Learning algorithms for mean field optimal control
by: Soner, H. Mete, et al.
Published: (2025)

Shape optimization problems with random coefficients via the penalty method
by: Pang, Xiaowei
Published: (2025)

Bi-martingale optimal transport and its applications
by: Bołbotowski, Karol
Published: (2025)

On the continuity of optimal stopping surfaces for jump-diffusions
by: Cai, Cheng, et al.
Published: (2021)

The isoperimetric problem for convex hulls and the large deviations rate functionals of random walks
by: Vysotsky, Vladislav
Published: (2023)

Variational principles for the exit time of non-symmetric diffusions
by: Huang, Lu-Jing, et al.
Published: (2020)

Dynkin ghost games with asymmetry and consolation
by: Ekström, Erik, et al.
Published: (2024)

Uniform attraction and exit problems for stochastic damped wave equations
by: Gasteratos, Ioannis, et al.
Published: (2025)

Fractional Sobolev processes on Wasserstein spaces and their energy-minimizing particle representations with applications
by: Abedi, Ehsan
Published: (2025)

Arcade Processes for Informed Martingale Interpolation
by: Kassis, Georges, et al.
Published: (2023)

Optimal stopping for Markov processes with positive jumps
by: Crocce, Fabian, et al.
Published: (2024)

Optimal Dividend Control with Transaction Costs under Exponential Parisian Ruin for a Refracted Levy Risk Model
by: Gao, Zhongqin, et al.
Published: (2025)

A measure-valued HJB perspective on Bayesian optimal adaptive control
by: Cox, Alexander M. G., et al.
Published: (2025)

Martingale theory for Dynkin games with asymmetric information
by: De Angelis, Tiziano, et al.
Published: (2025)

Here, there and everywhere: state-dependent time-inconsistent stochastic control
by: Possamaï, Dylan, et al.
Published: (2026)

Iterative Schemes for Markov Perfect Equilibria
by: Höfer, Felix, et al.
Published: (2025)

Characterisation of optimal solutions to second-order Beckmann problem through bimartingale couplings and leaf decompositions
by: Ciosmak, Krzysztof J.
Published: (2025)