Related papers: On Shortfall Risk Minimization for Game Options

We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…

For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some…

We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-averse stochastic control problems and use it to learn hedging…

Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his…

In the best choice problem with random arrivals, an unknown number $n$ of rankable items arrive at times sampled from the uniform distribution. As is well known, a real-time player can ensure stopping at the overall best item with…

We show the existence and effective computability of optimal winning strategies for request-response games in case the quality of a play is measured by the limit superior of the mean accumulated waiting times between requests and their…

We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS and TC, respectively, given a minimum…

This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…

In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…

In this paper, we investigate the problem of optimal supervisory control for the discrete event systems under energy constraints. We consider that the execution of events consumes energy and the energy can be replenished at specific reload…

We establish the existence of optimal scheduling strategies for time-bounded reachability in continuous-time Markov decision processes, and of co-optimal strategies for continuous-time Markov games. Furthermore, we show that optimal control…

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…

We define a class of zero-sum games with combinatorial structure, where the best response problem of one player is to maximize a submodular function. For example, this class includes security games played on networks, as well as the problem…

Often -- for example in war games, strategy video games, and financial simulations -- the game is given to us only as a black-box simulator in which we can play it. In these settings, since the game may have unknown nature action…

Hedge has been proposed as an adaptive scheme, which guides an agent's decision in resource selection and distribution problems that can be modeled as a multi-armed bandit full information game. Such problems are encountered in the areas of…

We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support…

We consider concurrent games played on graphs. At every round of the 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…

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the…

We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of…

Game theory has emerged as a powerful framework for modeling a large range of multi-agent scenarios. Many algorithmic solutions require discrete, finite games with payoffs that have a closed-form specification. In contrast, many real-world…