Related papers: Discrete-time risk-aware optimal switching with no…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed…
In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…
We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a prior probability distribution. In this Bayesian framework,…
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian regime-switching models in the sense that…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle…
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled process are described as a martingale problem. Supposing…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
This paper proposes a novel method for designing finite-horizon discrete-valued switching signals in linear switched systems based on discreteness-promoting regularization. The inherent combinatorial optimization problem is reformulated as…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
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.…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
Risk-averse model predictive control (MPC) offers a control framework that allows one to account for ambiguity in the knowledge of the underlying probability distribution and unifies stochastic and worst-case MPC. In this paper we study…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
In this paper we develop adaptive numerical schemes for certain nonlinear variational problems. The discretization of the variational problems is done by representing the solution as a suitable frame decomposition, i.e., a complete, stable,…