Related papers: Robust equilibrium strategies in a defined benefit…

We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…

We consider robust Markov Decision Processes with Borel state and action spaces, unbounded cost and finite time horizon. Our formulation leads to a Stackelberg game against nature. Under integrability, continuity and compactness assumptions…

We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…

This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…

In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a defined contribution pension system. We formulate this…

This study presents a rigorous mathematical approach to the optimization of round and betting policies in Blackjack, using Markov Decision Processes (MDP) and Expected Utility Theory. The analysis considers a direct confrontation between a…

This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with…

We investigate multi-round team competitions between two teams, where each team selects one of its players simultaneously in each round and each player can play at most once. The competition defines an extensive-form game with perfect…

This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent…

We consider the problem of decentralized power allocation for competitive rate-maximization in a frequency-selective Gaussian interference channel under bounded channel uncertainty. We formulate a distribution-free robust framework for the…

This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…

A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…

In this article, we study a discounted stochastic game to model resource optimal intrusion detection in wireless sensor networks. To address the problem of uncertainties in various network parameters, we propose a globalized robust game…

This study employs expected certainty equivalents to explore the reinsurance and investment issue pertaining to an insurer that aims to maximize the expected utility while being subject to random risk aversion. The insurer's surplus process…

Two-player quantitative zero-sum games provide a natural framework to synthesize controllers with performance guarantees for reactive systems within an uncontrollable environment. Classical settings include mean-payoff games, where the…

This paper develops a dynamic equilibrium model of the insurance market that jointly characterizes insurers' underwriting, investment, recapitalization, and dividend policies under model uncertainty and financial frictions. Competitive…

We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…

Budget allocation for power system reliability improvement is considered among the sophisticated problems because of its nonlinear nature. This nonlinearity makes the problem intractable for large-scale power systems. This paper compares…

We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…

We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…