Related papers: Asymptotic Linearity of Consumption Functions and …
We analyze strict dissipativity of generalized linear quadratic optimal control problems on Hilbert spaces. Here, the term ``generalized'' refers to cost functions containing both quadratic and linear terms. We characterize strict…
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is…
Mathematical programs with disjunctive constraints (MPDCs for short) cover several different problem classes from nonlinear optimization including complementarity-, vanishing-, cardinality-, and switching-constrained optimization problems.…
We consider sampled-data Model Predictive Control (MPC) of nonlinear continuous-time control systems. We derive sufficient conditions to guarantee recursive feasibility and asymptotic stability without stabilising costs and/or constraints.…
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…
We study optimal monopoly pricing over consumer networks governed by general nonlinear utilities. In our framework, a consumer's utility is jointly determined by an individualized price and the consumption choices of their peers, propagated…
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A…
Understanding and predicting the electric consumption patterns in the short-, mid- and long-term, at the distribution and transmission level, is a fundamental asset for smart grids infrastructure planning, dynamic network reconfiguration,…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop…
We analyze a coupled anonymized dataset collecting the mobile phone communication and bank transactions history of a large number of individuals. After mapping the social structure and introducing indicators of socioeconomic status,…
This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…
Summation arithmetic functions with asymptotically independent terms are studied in the paper, the limit of which is the law of normal distribution. Assertions about the asymptotic behavior of the indicated functions are proved.
A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…
We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of…
Datasets from the fields of bioinformatics, chemometrics, and face recognition are typically characterized by small samples of high-dimensional data. Among the many variants of linear discriminant analysis that have been proposed in order…
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex…
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation…
Recent results, establishing evidence of intractability for such restrictive utility functions as additively separable, piecewise-linear and concave, under both Fisher and Arrow-Debreu market models, have prompted the question of whether we…
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…