38 citations · 105 across the 18 of their papers we have counts for
22 papers
Branched harmonic majorants: representations for multidimensional optimal stopping
John Moriarty
We construct the least superharmonic majorant of a continuous function on the -dimensional unit ball () via a canonical sequential scheme. While classical theory i…
The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
John Moriarty, Neofytos Rodosthenous
We resolve a long-standing open question posed by Karatzas, Ocone, Wang, and Zervos (Stochastics, 2000) on finite-fuel singular stochastic control with discretionary stopping. Our…
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…
Hopping between distant basins
Maldon Goodridge, John Moriarty, Jure Vogrinc +1
We present the Basin Hopping with Skipping (BH-S) algorithm for stochastic optimisation, which replaces the perturbation step of basin hopping (BH) with a so-called skipping propos…
Large Fluctuations in Locational Marginal Prices
Tommaso Nesti, John Moriarty, Alessandro Zocca +1
This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study…
Markov risk mappings and risk-sensitive optimal prediction
Tomasz Kosmala, Randall Martyr, John Moriarty
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive vers…
Discrete-time risk-aware optimal switching with non-adapted costs
Randall Martyr, John Moriarty, Magnus Perninge
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existe…
A Metropolis-class sampler for targets with non-convex support
John Moriarty, Jure Vogrinc, Alessandro Zocca
We aim to improve upon the exploration of the general-purpose random walk Metropolis algorithm when the target has non-convex support , by reusing proposals…
Optimal control of a commercial building's thermostatic load for off-peak demand response
Randall Martyr, John Moriarty, Christian Beck
This paper studies the optimal control of a commercial building's thermostatic load during off-peak hours as an ancillary service to the transmission system operator of a power gri…
A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
Said Hamadène, Randall Martyr, John Moriarty
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we…
Frequency violations from random disturbances: an MCMC approach
John Moriarty, Jure Vogrinc, Alessandro Zocca
The frequency stability of power systems is increasingly challenged by various types of disturbances. In particular, the increasing penetration of renewable energy sources is incre…
Nonzero-sum games of optimal stopping and generalised Nash equilibrium
Randall Martyr, John Moriarty
In the nonzero-sum setting, we establish a connection between Nash equilibria in games of optimal stopping (Dynkin games) and generalised Nash equilibrium problems (GNEP). In the D…
Energy imbalance market call options and the valuation of storage
John Moriarty, Jan Palczewski
The use of energy storage to balance electric grids is increasing and, with it, the importance of operational optimisation from the twin viewpoints of cost and system stability. In…
Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Tiziano De Angelis, Giorgio Ferrari, Randall Martyr +1
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty…
Bayesian calibration and number of jump components in electricity spot price models
Jhonny Gonzalez, John Moriarty, Jan Palczewski
We find empirical evidence that mean-reverting jump processes are not statistically adequate to model electricity spot price spikes but independent, signed sums of such processes a…
A geometric answer to an open question of singular control with stopping
John Moriarty
We solve a problem of singular stochastic control with discretionary stopping, suggested as an interesting open problem by Karatzas, Ocone, Wang and Zervos (2000), by providing sui…
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of Itô and McKea…
A solvable two-dimensional singular stochastic control problem with non convex costs
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-…
A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas an…
Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
A. B. Dieker, J. Moriarty
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential…
Exit problems associated with affine reflection groups
Yan Doumerc, John Moriarty
We obtain a formula for the distribution of the first exit time of Brownian motion from the alcove of an affine Weyl group. In most cases the formula is expressed compactly, in ter…
On the free energy of a directed polymer in a Brownian environment
John Moriarty, Neil O'Connell
We prove a formula conjectured in O'Connell and Yor (2001) for the free energy density of a directed polymer in a Brownian environment in 1+1 dimensions.