Related papers: A Knightian Irreversible Investment Problem
We present an extension of two policy-iteration based algorithms on weighted graphs (viz., Markov Decision Problems and Max-Plus Algebras). This extension allows us to solve the following inverse problem: considering the weights of the…
We present an anytime algorithm which computes policies for decision problems represented as multi-stage influence diagrams. Our algorithm constructs policies incrementally, starting from a policy which makes no use of the available…
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian…
In an incomplete market driven by time-changed L\'evy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we study hedging under worst-case-scenario. The proposed…
Inferring unknown constraints is a challenging and crucial problem in many robotics applications. When only expert demonstrations are available, it becomes essential to infer the unknown domain constraints to deploy additional agents…
Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…
In the knapsack problem under explorable uncertainty, we are given a knapsack instance with uncertain item profits. Instead of having access to the precise profits, we are only given uncertainty intervals that are guaranteed to contain the…
In real applications, database systems should be able to manage and process data with uncertainty. Any real dataset may have missing or rounded values, also the values of data may change by time. So, it becomes important to handle these…
In this paper we consider the minimization of a continuous function that is potentially not differentiable or not twice differentiable on the boundary of the feasible region. By exploiting an interior point technique, we present first- and…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not…
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also…
This paper presents a new prediction model for time series data by integrating a time-varying Geometric Brownian Motion model with a pricing mechanism used in financial engineering. Typical time series models such as Auto-Regressive…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local,…
We consider the problem of decision-making under uncertainty in an environment with safety constraints. Many business and industrial applications rely on real-time optimization to improve key performance indicators. In the case of unknown…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
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,…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
We study the problem of choosing optimal policy rules in uncertain environments using models that may be incomplete and/or partially identified. We consider a policymaker who wishes to choose a policy to maximize a particular counterfactual…