arXiv research

Study optimal stopping times for multi-dimensional processes with non-exponential discounting.

Study optimal stopping for group with diverse discount rates using an attitude function.

This paper studies a class of optimal multiple stopping problems driven by Lévy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real options, where the strike price can potentially grow at a higher rate than the original d…

In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of Lévy models with a continuous additive functional (CAF) discounting. Under spectrally negative models, we specialize this in terms of conditions on the reward function and ran…

Study optimal stopping times under regime-switching models with constraints.

Improved algorithm for optimal stopping problems reduces runtime.

Optimizes American option exercise timing with discounted Brownian bridge model.

Study optimal stopping problems with finite-time horizon and proves continuity and strict monotonicity of the boundary.

Probabilistic proof of smooth boundaries in optimal stopping problems.

The paper analyzes perpetual American options with asset-dependent discounting.

Solves optimal stopping for Gauss-Markov bridges using time-space transformation.

We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function induces decreasing impatience, we establish the existence of an equilibrium through …

For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the discount function is log sub-additive and the state process is one-dimensional, an opt…

Investors with anxiety about drawdowns may use stop-loss and trailing stops as optimal selling strategies.

The paper defines and solves time-inconsistent stopping control problems in multi-dimensional diffusion models.

This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the main approach that has been used to construct explicit solutions for conventional time-consistent optimal stopping problems, may fail under …

Study shows ambiguity affects optimal timing in a two-dimensional model.

We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, Itô diffusions, payoff functions that need not be smooth and state-dependent discounting. This is done within a framework based on dynamic programming techniques employing var…

In this paper we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount f…

Introduces strong equilibrium for time-inconsistent stopping problems in continuous time.

The paper analyzes a game where players must balance short-term and long-term interests, leading to cooperative or competitive outcomes.

This paper analyzes optimal stopping regions for American options with Poisson exercise opportunities.

We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative Lévy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first time when the occupation time of the underlying Lévy process below a level $y$, ex…

The study examines different types of equilibria for stopping problems in one-dimensional diffusion processes.

This paper presents an algorithm for pricing perpetual American put options with asset-dependent discounting.

A new method learns to stop with minimal data, outperforming traditional approaches.

We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and the discount rate can be positive or negative. The computation involves a distribution of the Levy process at a constant horizon and hence t…

Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1. Suppose however that we are able to see $a$ units of time into the future, and ba…

In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise to time-dependent instantaneous marginal profits, whereas capital injections ar…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtaine…

Efficiently selects seed nodes to maximize content influence in unknown social networks.

Optimizes tax payments for insurance companies using Lévy risk processes.

The paper studies RBSDEs with arbitrary stopping times and their solutions.

We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial public offering (IPO) market, the venture capitalist wants to maximize overall discou…

Bayesian bandits misspecification affects UX optimization, revealing new models.

The paper develops formulas for hedging and arbitrage in markets with random stopping times.

Paper develops a discounted algorithm for online convex optimization that adapts to unknown discount factors.

Repo rates are explained as a convexity effect from bond and derivative discount rates.

Paper introduces non-linear discounting models for default compensation and climate valuation.

This work bridges hyperbolic discounting in RL with exponential discounting.

Study analyzes how discounts affect train ticket purchases and rescheduling in Switzerland.

We demonstrate a limitation of discounted expected utility, a standard approach for representing the preference to risk when future cost is discounted. Specifically, we provide an example of the preference of a decision maker that appears to be rational but cannot be represented with any discounted expected utility. A …

Proves lower discount rates are needed for future losses.

Proposes a new framework for discount models.

Revises derivative pricing post financial crisis by defining a discount rate.

Enhances xVA valuation with initial margin and CSA discounting.

Optimal buying and selling times for homes in fluctuating interest rates.

This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.