Related papers: Time Consistent Stopping For The Mean-Standard Dev…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that…
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game…
Various classes of stable finite difference schemes can be constructed to obtain a numerical solution. It is important to select among all stable schemes such a scheme that is optimal in terms of certain additional criteria. In this study,…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
In this paper, we develop a provably correct optimal control strategy for a finite deterministic transition system. By assuming that penalties with known probabilities of occurrence and dynamics can be sensed locally at the states of the…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
We study a finite-element based space-time discretisation for the 2D stochastic Navier-Stokes equations in a bounded domain supplemented with no-slip boundary conditions. We prove optimal convergence rates in the energy norm with respect to…
This paper studies a discrete-time major-minor mean field game of stopping where the major player can choose either an optimal control or stopping time. We look for the relaxed equilibrium as a randomized stopping policy, which is…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
We study the complexity of central controller synthesis problems for finite-state Markov decision processes, where the objective is to optimize both the expected mean-payoff performance of the system and its stability. We argue that the…
We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singular control framework. Investors do not like variability in…
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…