Related papers: Stability of the Epstein-Zin problem
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
The inverse problem of backward diffusion is known to be ill-posed and highly unstable. Backward diffusion processes appear naturally in image enhancement and deblurring applications. It is therefore greatly desirable to establish a…
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedging instruments are vanilla options written on a single…
This paper is concerned with a new optimization problem named "phase change rate maximization" for single-input-single-output linear time-invariant systems. The problem relates to two control problems, namely robust instability analysis…
In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…
We consider, in the Aw-Rascle-Zhang traffic flow model, the problem of the asymptotic stability of constant flows. By using a perturbative approach, we show the stability in a larger space of perturbation than previous results. Furthermore,…
We study discrete time linear constrained switching systems with additive disturbances, in which the switching may be on the system matrices, the disturbance sets, the state constraint sets or a combination of the above. In our general…
Variational stability, in the sense of local good behavior of optimal values and solutions in problems of optimization under shifts in parameters, is important not only for validating model robustness in practical applications but also for…
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…
We discuss the analysis and stability of a family of cross-diffusion boundary value problems with nonlinear diffusion and drift terms. We assume that these systems are close, in a suitable sense, to a set of decoupled and linear problems.…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
We consider a damped linear hyperbolic system modelling the propagation of pressure waves in a network of pipes. Well-posedness is established via semi-group theory and the existence of a unique steady state is proven in the absence of…
In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…
We consider the problem of closeness of solutions of an exact and an averaged difference equations on an infinite interval. Appropriate assertions are derived from one special theorem on the stability under constantly acting perturbations.
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
We prove the stability of entropy solutions of nonlinear conservation laws with respect to perturbations of the initial datum, the space-time dependent flux and the entropy inequalities. Such a general stability theorem is motivated by the…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…