ﻻ يوجد ملخص باللغة العربية
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic optimal control and stopping problems in the existing literature, to figure out a managers decision. We formulate our model to a free boundary problem of a fully textit{nonlinear} equation. By means of a dual transformation, however, we can convert the above problem to a new free boundary problem of a textit{linear} equation. Finally, using the corresponding inverse dual transformation, we apply the theoretical results established for the new free boundary problem to obtain the properties of the optimal strategy and the optimal stopping time to achieve a certain level for the original problem over a finite time investment horizon.
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic op
In this paper, we consider the optimal stopping problem on semi-Markov processes (SMPs) with finite horizon, and aim to establish the existence and computation of optimal stopping times. To achieve the goal, we first develop the main results of finit
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal wealth. Based o
Intelligent mobile sensors, such as uninhabited aerial or underwater vehicles, are becoming prevalent in environmental sensing and monitoring applications. These active sensing platforms operate in unsteady fluid flows, including windy urban environm
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We transform th