Related papers: Asymptotic Linearity of Consumption Functions and …
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an…
Asymptotic behavior of energy of a harmonic map defined on an asymptotically hyperbolic manifold is considered. Using the growth of energy, we show that a harmonic map defined on some asymptotically hyperbolic manifolds has to be constant…
This paper proposes an Adaptive Stochastic Model Predictive Control (MPC) strategy for stable linear time-invariant systems in the presence of bounded disturbances. We consider multi-input, multi-output systems that can be expressed by a…
Flexible loads, i.e. the loads whose power trajectory is not bound to a specific one, constitute a sizable portion of current and future electric demand. This flexibility can be used to improve the performance of the grid, should the right…
We exploit an adaptive control technique, namely funnel control, in order to establish both initial and recursive feasibility in Model Predictive Control (MPC) for output-constrained nonlinear systems. Moreover, we show that the resulting…
The paper considers asymptotics of summation functions of additive and multiplicative arithmetic functions. We also study asymptotics of summation functions of natural and prime arguments. Several assertions on this subject are proved and…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…
Upper semicontinuous (usc) functions arise in the analysis of maximization problems, distributionally robust optimization, and function identification, which includes many problems of nonparametric statistics. We establish that every usc…
Model predictive control (MPC) is a method to formulate the optimal scheduling problem for grid flexibilities in a mathematical manner. The resulting time-constrained optimization problem can be re-solved in each optimization time step…
We study the properties of input-consuming derivations of moded logic programs. Input-consuming derivations can be used to model the behavior of logic programs using dynamic scheduling and employing constructs such as delay declarations. We…
We propose a consumption-investment decision model where past consumption peak $h$ plays a crucial role. There are two important consumption levels: the lowest constrained level and a reference level, at which the risk aversion in terms of…
We empirically investigate distributions of individual consumption expenditure f or four commodity categories conditional on fixed income levels. The data stems from the Family Expenditure Survey carried out annually in the United Kingdom.…
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target…
Probabilistic independence can dramatically simplify the task of eliciting, representing, and computing with probabilities in large domains. A key technique in achieving these benefits is the idea of graphical modeling. We survey existing…
Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
A seller offers a buyer a schedule of transfers and associated product qualities. After observing this schedule, the buyer chooses a flexible costly signal about his type. We show it is without loss to focus on a class of mechanisms that…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
The problem of designing policies for in-network function computation with minimum energy consumption subject to a latency constraint is considered. The scaling behavior of the energy consumption under the latency constraint is analyzed for…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…