Related papers: Stability of the Epstein-Zin problem
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
This paper investigates stability properties of affine optimal control problems constrained by semilinear elliptic partial differential equations. This is done by studying the so called metric subregularity of the set-valued mapping…
The use of available disturbance predictions within a nominal model predictive control formulation is studied. The main challenge that arises is the loss of recursive feasibility and stability guarantees when a persistent disturbance is…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
The discrete self-trapping equation (DST) represents an useful model for several properties of one-dimensional nonlinear molecular crystals. The modulational instability of DST equation is discussed from a statistical point of view,…
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients…
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
This paper establishes comprehensive stability results for quasi-variational inequalities (QVIs) under monotone perturbations of the governing operator. We prove strong convergence of both minimal and maximal solutions when sequences of…
For solving unsteady hyperbolic conservation laws on cut cell meshes, the so called small cell problem is a big issue: one would like to use a time step that is chosen with respect to the background mesh and use the same time step on the…
A novel numerical method for solving inverse scattering problem with fixed-energy data is proposed. The method contains a new important concept: the stability index of the inversion problem. This is a number, computed from the data, which…
In this work, we study the external and internal stability of minimal solutions to set-valued optimization problems in a new functional framework. We consider perturbations on both the objective function and the admissible domain. To…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We study the instability of a thin membrane (of zero bending rigidity) to out-of-plane deflections, when the membrane is immersed in an inviscid fluid flow and sheds a trailing vortex-sheet wake. We solve the nonlinear eigenvalue problem…
We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…
This paper deals with stability of discrete-time switched linear systems whose all subsystems are unstable. We present sufficient conditions on the subsystems matrices such that a switched system is globally exponentially stable under a set…