Related papers: Utility maximization via decoupling fields
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…
The aim of this work is to develop general optimization methods for finite difference schemes used to approximate linear differential equations. The specific case of the transport equation is exposed. In particular, the minimization of the…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the…
The dramatic increase of network infrastructure comes at the cost of rapidly increasing energy consumption, which makes optimization of energy efficiency (EE) an important topic. Since EE is often modeled as the ratio of rate to power, we…
We derive general relations between maximum power, maximum efficiency, and minimum dissipation regimes from linear irreversible thermodynamics. The relations simplify further in the presence of a particular symmetry of the Onsager matrix,…
We analyze a semi-explicit time discretization scheme of first order for poro\-elasticity with nonlinear permeability provided that the elasticity model and the flow equation are only weakly coupled. The approach leads to a decoupling of…
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximize expected exponential utility of terminal wealth…
We study performance limits of solutions to utility maximization problems (e.g., max-min problems) in wireless networks as a function of the power budget $\bar{p}$ available to transmitters. Special focus is devoted to the utility and the…
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great…
A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity…
This paper is concerned with Merton's portfolio optimization problem in a Volterra stochastic environment described by a multivariate fake stationary Volterra--Heston model. Due to the non-Markovianity and non-semimartingality of the…
This paper proposes a gradient descent based optimization method that relies on automatic differentiation for the computation of gradients. The method uses tools and techniques originally developed in the field of artificial neural networks…
An iterative optimization approach that simultaneously minimizes the energy and optimizes the Lagrange multipliers enforcing desired constraints is presented. The method is tested on previously established benchmark systems and it is proved…
This paper discusses the num\'eraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at the terminal time. We first observe…
How would a cellular network designed for maximal energy efficiency look like? To answer this fundamental question, tools from stochastic geometry are used in this paper to model future cellular networks and obtain a new lower bound on the…
This paper is dedicated to solving high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of the numerical solution that holds for any time duration.…
We consider the worst-case load-shedding problem in electric power networks where a number of transmission lines are to be taken out of service. The objective is to identify a pre-specified number of line outage that leads to the maximum…
In this paper, we study an energy efficiency maximization problem in uplink for D2D communications underlaid with cellular networks on multiple bands. Utilizing stochastic geometry, we derive closed-form expressions for the average sum…
Motivated by the FPTAS for connectivity interdiction of Huang et al. (IPCO'24), we isolate the part of the argument that does not use cuts. The setting is a minimization problem over a feasible-set family $\mathcal F$ with a linear…
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility…