Related papers: Stochastic maximum principle under probability dis…

In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…

Contextual stochastic optimization is an advanced methodology to model uncertainty in the presence of contextual information during decision planning processes. Although classical methodologies focus on minimizing the expectation of a…

In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…

In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…

We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds.…

A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.

We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight. The decision rules are based on the history of stock returns…

In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…

In this work, optimality conditions and classical results from duality theory are derived for continuous-time linear optimization problems with inequality constraints. The optimality conditions are given in the Karush-Kuhn-Tucker form. Weak…

We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…

In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…

In performative prediction, the choice of a model influences the distribution of future data, typically through actions taken based on the model's predictions. We initiate the study of stochastic optimization for performative prediction.…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…

We consider a portfolio optimisation problem for a utility-maximising investor who faces convex constraints on his portfolio allocation in Heston's stochastic volatility model. We apply the duality methods developed in previous work to…

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 consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…

This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhile, the agent is prohibited from short-selling stocks. Our…

In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…

We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…