Related papers: Utility Maximization with a Stochastic Clock and a…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
In this paper, we present a stochastic augmented Lagrangian approach on (possibly infinite-dimensional) Riemannian manifolds to solve stochastic optimization problems with a finite number of deterministic constraints.We investigate the…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…
Stochastic programming can be applied to consider uncertainties in energy system optimization models for capacity expansion planning. However, these models become increasingly large and time-consuming to solve, even without considering…
This paper examines a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust investor, who worries about model misspecification and seeks…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the optimization problem by reducing the constraints to a finite…
In this work, we present a novel approach for solving stochastic shape optimization problems. Our method is the extension of the classical stochastic gradient method to infinite-dimensional shape manifolds. We prove convergence of the…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under…
We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the…
We first describe a general class of optimization problems that describe many natural, economic, and statistical phenomena. After noting the existence of a conserved quantity in a transformed coordinate system, we outline several instances…
This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is…