Related papers: On Shortfall Risk Minimization for Game Options

In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…

We examine perfect information stochastic mean-payoff games - a class of games containing as special sub-classes the usual mean-payoff games and parity games. We show that deterministic memoryless strategies that are optimal for discounted…

We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…

We consider concurrent games played on graphs. At every round of a game, each player simultaneously and independently selects a move; the moves jointly determine the transition to a successor state. Two basic objectives are the safety…

We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…

Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or…

We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that…

We study automated intrusion prevention using reinforcement learning. Following a novel approach, we formulate the interaction between an attacker and a defender as an optimal stopping game and let attack and defense strategies evolve…

When investing in cyber security resources, information security managers have to follow effective decision-making strategies. We refer to this as the cyber security investment challenge. In this paper, we consider three possible…

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…

The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal…

Evaluating the overall ability of players in the National Hockey League (NHL) is a difficult task. Existing methods such as the famous "plus/minus" statistic have many shortcomings. Standard linear regression methods work well when player…

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…

Scenario reduction algorithms can be an effective means to provide a tractable description of the uncertainty in optimal control problems. However, they might significantly compromise the performance of the controlled system. In this paper,…

We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to…

Designing hierarchical reinforcement learning algorithms that exhibit safe behaviour is not only vital for practical applications but also, facilitates a better understanding of an agent's decisions. We tackle this problem in the options…

We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of the optimal strategy and the hedging…

In this paper, we consider the social optimal problem of discrete time finite state space mean field games (referred to as finite mean field games [1]). Unlike the individual optimization of their own cost function in competitive models, in…

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…

Evidence suggests that participants in strategy-proof matching mechanisms play dominated strategies. To explain the data, we introduce expectation-based loss aversion into a school-choice setting and characterize choice-acclimating personal…