Related papers: Utility maximization with random horizon: a BSDE a…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
Benchmarks in the utility function have various interpretations, including performance guarantees and risk constraints in fund contracts and reference levels in cumulative prospect theory. In most literature, benchmarks are a deterministic…
This paper is devoted to the existence, uniqueness and comparison theorem on unbounded solutions of one-dimensional backward stochastic differential equations (BSDEs) with sub-quadratic generators, where the terminal time is allowed to be…
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 show that this game has a value and an equilibrium in the…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
Energy storage scheduling problems, where a storage is operated to maximize its profit in response to a price signal, are essentially infinite-horizon optimization problems as storage systems operate continuously, without a foreseen end to…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
We study decision timing problems on finite horizon with Poissonian information arrivals. In our model, a decision maker wishes to optimally time her action in order to maximize her expected reward. The reward depends on an unobservable…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a so-called facelift operator at times of a grid. We show that…
Motivated by recent developments in designing algorithms based on individual item scores for solving utility maximization problems, we study the framework of using test scores, defined as a statistic of observed individual item performance…
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the…
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…