From the 1 of 3 linked papers with an AI index.
Showing math.OCShow all
2 papers · 1 filter
math.OC2026
The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
John Moriarty, Neofytos Rodosthenous
The paper solves a long‑standing open problem on finite‑fuel singular stochastic control with discretionary stopping by introducing a novel one‑shot technique that reduces the prob…
math.OC2025
Optimal stopping with nonlinear expectation: geometric and algorithmic solutions
Tomasz Kosmala, John Moriarty
We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the…