Related papers: Recursive utility maximization under partial infor…
This paper investigates a class of multi-player discrete games where each player aims to maximize its own utility function. Each player does not know the other players' action sets, their deployed actions or the structures of its own or the…
Approachability has become a standard tool in analyzing earning algorithms in the adversarial online learning setup. We develop a variant of approachability for games where there is ambiguity in the obtained reward that belongs to a set,…
We examine the routing problem for self-interested vehicles using stochastic decision strategies. By approximating the road latency functions and a non-linear variable transformation, we frame the problem as an aggregative game. We…
We treat uncertain linear programming problems by utilizing the notion of weighted analytic centers and notions from the area of multi-criteria decision making. After introducing our approach, we develop interactive cutting-plane algorithms…
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
We study the situations when the solution to a weighted stochastic recursion has a power law tail. To this end, we develop two complementary approaches, the first one extends Goldie's (1991) implicit renewal theorem to cover recursions on…
We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our…
For many applications the presence of a quantum advantage crucially depends on the availability of resourceful states. Although the resource typically depends on the particular task, in the context of multipartite systems entangled quantum…
In this paper, we study expected utility maximization under ratchet and drawdown constraints on consumption in a general incomplete semimartingale market using duality methods. The optimization is considered with respect to two parameters:…
In this paper we study the problem of driving an agent to an unknown source whose location is estimated in real-time by a recursive optimization algorithm. The optimization criterion is subject to a least-square cost function constructed…
This paper examines the Random Utility Model (RUM) in repeated stochastic choice settings where decision-makers lack full information about payoffs. We propose a gradient-based learning algorithm that embeds RUM into an online…
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a martingale equation of a new…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward…
We formulate and analyze a generic sequential resource access problem arising in a variety of engineering fields, where a user disposes a number of heterogeneous computing, communication, or storage resources, each characterized by the…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
We consider a sequential inspection game where an inspector uses a limited number of inspections over a larger number of time periods to detect a violation (an illegal act) of an inspectee. Compared with earlier models, we allow varying…
The dynamics in games involving multiple players, who adaptively learn from their past experience, is not yet well understood. We analyzed a class of stochastic games with Markov strategies in which players choose their actions…