Related papers: An Optimal Investment Problem under Correlated Noi…
The importance of feedback control is being increasingly appreciated in quantum physics and applications. This paper describes the use of optimal control methods in the design of quantum feedback control systems, and in particular the paper…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund manager aims to maximize the trade-off between the expected…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
This paper develops a unified explicit solution theory for optimal execution through sequential limit-order placement in a limit order book. Rather than controlling only the trading speed of a metaorder, we determine how individual limit…
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…
Rolling forecasts have been almost overlooked in the renewable energy storage literature. In this paper, we provide a new approach for handling uncertainty not just in the accuracy of a forecast, but in the evolution of forecasts over time.…
We study the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We introduce a measure of portfolio sensitivity and test the…
This study investigates an optimal investment problem for an insurance company operating under the Cramer-Lundberg risk model, where investments are made in both a risky asset and a risk-free asset. In contrast to other literature that…
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation…
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…
We consider a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
We consider the task of multiple parameter estimation in the presence of strong correlated noise with a network of distributed sensors. We study how to find and improve noise-insensitive strategies. We show that sequentially probing GHZ…