13 papers
Reflected Optimal Stopping with a Max-Type Payoff: Measure-Valued Stopping Gains and Killed Resolvent Representation
Ye Liang
We study an infinite-horizon optimal stopping problem for a two-dimensional normally reflected diffusion in the quadrant with payoff \(G(x_1,x_2)=x_1\vee αx_2\). The problem combi…
Multiplier Sensitivity in Isoperimetric Optimal Control
Ye Liang
We study finite-horizon optimal control problems with scalar isoperimetric constraints from a function-space duality perspective. Controls are treated as elements of weakly compact…
Delay-Penalty Comparison for Sequential Testing and Quickest Detection in State-Dependent Diffusion Models
Ye Liang
We study sequential testing and Bayesian quickest detection for diffusion observations whose drift changes between two alternatives while the signal-to-noise ratio may depend on th…
Nonsmooth Obstacles and Killed Resolvents in Reflected Stochastic Control
Louis Shuo Wang, Jiguang Yu, Ye Liang
We study an infinite-horizon optimal stopping problem for a normally reflected two-dimensional diffusion in the quadrant with nonsmooth max-type payoff \(G(x_1,x_2)=x_1\veeαx_2\).…
A Measure-Valued Obstacle Problem for an Obliquely Reflected Diffusion with a Max-Type Payoff
Louis Shuo Wang, Jiguang Yu, Ye Liang
We study an obliquely reflected optimal stopping problem in the nonnegative quadrant with nonsmooth max-type payoff \(G(x)=x_1\veeαx_2\), and we develop a measure-valued potential…
Time and Killed Resolvents in Reflected Optimal Stopping with a Max Payoff
Louis Shuo Wang, Ye Liang
We study infinite-horizon optimal stopping for normally reflected two-dimensional diffusions in the positive quadrant with max payoff \(G(x_1,x_2)=x_1\veeαx_2\). The non-smooth pa…