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We consider adaptive decision-making problems where an agent optimizes a cumulative performance objective by repeatedly choosing among a finite set of options. Compared to the classical prediction-with-expert-advice set-up, we consider…
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is…
We study the framework of a dynamic decision-making scenario with resource constraints. In this framework, an agent, whose target is to maximize the total reward under the initial inventory, selects an action in each round upon observing a…
In this work, we consider the problem of regret minimization in adaptive minimum variance and linear quadratic control problems. Regret minimization has been extensively studied in the literature for both types of adaptive control problems.…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
We study an optimal control problem encompassing investment, consumption, and retirement decisions under exponential (CARA-type) utility. The financial market comprises a bond with constant drift and a stock following geometric Brownian…
We consider the problem of reward maximization in the dueling bandit setup along with constraints on resource consumption. As in the classic dueling bandits, at each round the learner has to choose a pair of items from a set of $K$ items…
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,…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…
We study best-policy identification for finite-horizon risk-sensitive reinforcement learning under the entropic risk measure. Recent work established a constant gap in the exponential horizon dependence between lower and upper bounds on the…
We study the problem of determining an effective exploration strategy in static and non-linear optimization problems, which depend on an unknown scalar parameter to be learned from online collected noisy data. An optimal trade-off between…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose both the starting time of the reinsurance contract and the…
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…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
This paper investigates the optimal investment, consumption, and life insurance strategies for households under the impact of health shock risk. Considering the uncertainty of the future health status of family members, a non-homogeneous…
This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with…
We study a multi-objective model on the allocation of reusable resources under model uncertainty. Heterogeneous customers arrive sequentially according to a latent stochastic process, request for certain amounts of resources, and occupy…