Related papers: Stability of the Epstein-Zin problem
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a constant-parameter Black-Scholes-Merton market. The paper has…
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity…
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the…
This paper concerns the inverse source problems for the time-harmonic elastic and electromagnetic wave equations. The goal is to determine the external force and the electric current density from boundary measurements of the radiated wave…
A well known result states that stability criterion for matchings in two-sided markets doesn't ensure uniqueness. This opens the door for a moral question with regard to the optimal stable matching from a social point of view. Here, a new…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial…
The Einstein relation, relating the steady state fluctuation properties to the linear response to a perturbation, is considered for steady states of stochastic models with a finite state space. We show how an Einstein relation always holds…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We prove existence and uniqueness of solutions, continuous dependence from the initial datum and stability with respect to the boundary condition in a class of initial--boundary value problems for systems of balance laws. The particular…
This thesis consists of two separate parts: in each we study the stability under small perturbations of certain probability models in different contexts. In the first, we study small random perturbations of a deterministic dynamical system…
The performance of decision policies and prediction models often deteriorates when applied to environments different from the ones seen during training. To ensure reliable operation, we analyze the stability of a system under distribution…
Solutions of an optimization problem are sensitive to changes caused by approximations or parametric perturbations, especially in the nonconvex setting. This paper shows that solutions of substitute problems, constructed from Rockafellian…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
Prolongating our previous paper on the Einstein relation, we study the motion of a particle diffusing in a random reversible environment when subject to a small external forcing. In order to describe the long time behavior of the particle,…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to…
We are interested in the question of stability in the field of shape optimization, with focus on the strategy using second order shape derivative. More precisely, we identify structural hypotheses on the hessian of the considered shape…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…