Related papers: Utility maximization via decoupling fields
We consider the system-wide utility maximization problem in the downlink of a cell-free massive multiple-input multiple-output (MIMO) system whereby a very large number of access points (APs) simultaneously serve a group of users.…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…
This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility…
This paper discusses the problem of maximizing the total data transmission utility of the computer network. The total utility is defined as the sum of the individual (corresponding to each node in the network) utilities that are concave…
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot…
In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate creates incompleteness. The…
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish…
Optimizing network utility in device-to-device networks is typically formulated as a non-convex optimization problem. This paper addresses the scenario where the optimization variables are from a bounded but continuous set, allowing each…
This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sufficient condition for the existence of a solution…
Differential equations (DE) constrained optimization plays a critical role in numerous scientific and engineering fields, including energy systems, aerospace engineering, ecology, and finance, where optimal configurations or control…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
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…
Decomposition methods have been proposed to approximate solutions to large sequential decision making problems. In contexts where an agent interacts with multiple entities, utility decomposition can be used to separate the global objective…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
This paper addresses a distributed optimization problem in a communication network where nodes are active sporadically. Each active node applies some learning method to control its action to maximize the global utility function, which is…