Related papers: Stability of the Epstein-Zin problem
We study the stability of a vector field associated to a nearly-integrable Hamiltonian dynamical system to which a dissipation is added. Such a system is governed by two parameters, named the perturbing and dissipative parameters, and it…
A useful sampling-reconstruction model should be stable with respect to different kind of small perturbations, regardless whether they result from jitter, measurement errors, or simply from a small change in the model assumptions. In this…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
Stationary periodic patterns are widespread in natural sciences, ranging from nano-scale electrochemical and amphiphilic systems to mesoscale fluid, chemical and biological media and to macro-scale vegetation and cloud patterns. Their…
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
Two genres of heuristics that are frequently reported to perform much better on "real-world" instances than in the worst case are greedy algorithms and local search algorithms. In this paper, we systematically study these two types of…
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…
This work deals with the stability analysis of nonlinear sampled-data systems under nonuniform sampling. It establishes novel relationships between the stability property of the exact discrete-time model for a given sequence of (aperiodic)…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
Accurate simulations of ice sheet dynamics, mantle convection, lava flow, and other highly viscous free-surface flows involve solving the coupled Stokes/free-surface equations. In this paper, we theoretically analyze the stability and…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
We investigate an expected utility maximization problem under model uncertainty in a one-period financial market. We capture model uncertainty by replacing the baseline model $\mathbb{P}$ with an adverse choice from a Wasserstein ball of…