Related papers: A stability result on optimal Skorokhod embedding
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Variance reduction techniques are of crucial importance for the efficiency of Monte Carlo simulations in finance applications. We propose the use of neural SDEs, with control variates parameterized by neural networks, in order to learn…
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Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
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We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to…
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =\mu (t, A_t) d t + \sigma(t, A_t) d W_t$. We provide sufficient conditions…
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This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
Start a planar Brownian motion and let it run until it hits some given barrier. We show that the barrier may be crafted so that the x coordinate at the hitting time has any prescribed centered distribution with finite variance. This…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…