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We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…
In this paper, we consider a discrete-time Markov Decision Process (MDP) on a finite state-action space with a long-run risk-sensitive criterion used as the objective function. We discuss the concept of Blackwell optimality and comment on…
In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth across several stocks whose growth rates and distress…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is…
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
The aim of this paper is to investigate risk-averse and distributionally robust modeling of Stochastic Optimal Control (SOC) and Markov Decision Process (MDP). We discuss construction of conditional nested risk functionals, a particular…
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the regime-modulated refraction-reflection…
We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…
This paper is devoted to studying the average optimality in continuous-time Markov decision processes with fairly general state and action spaces. The criterion to be maximized is expected average rewards. The transition rates of underlying…
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…
Markov automata combine non-determinism, probabilistic branching, and exponentially distributed delays. This compositional variant of continuous-time Markov decision processes is used in reliability engineering, performance evaluation and…
This work focuses on optimal controls of a class of stochastic SIS epidemic models under regime switching. By assuming that a decision maker can either influence the infectivity period or isolate infected individuals, our aim is to minimize…
This paper considers the problem of randomized influence maximization over a Markovian graph process: given a fixed set of nodes whose connectivity graph is evolving as a Markov chain, estimate the probability distribution (over this fixed…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…