Related papers: Utility Maximization Problem with Uncertainty and …
Multi-hop random access networks have received much attention due to their distributed nature which facilitates deploying many new applications over the sensor and computer networks. Recently, utility maximization framework is applied in…
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
In this paper we focus on the unconstrained binary quadratic optimization model, maximize x^t Qx, x binary, and consider the problem of identifying optimal solutions that are robust with respect to perturbations in the Q matrix.. We are…
We consider the problem of optimally utilizing $N$ resources, each in an unknown binary state. The state of each resource can be inferred from state-dependent noisy measurements. Depending on its state, utilizing a resource results in…
Time estimation is a fundamental task that underpins precision measurement, global navigation systems, financial markets, and the organisation of everyday life. Many biological processes also depend on time estimation by nanoscale clocks,…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is,…
In this paper, we consider a constrained stochastic linear-quadratic (LQ) optimal control problem where the control is constrained in a closed cone. The state process is governed by a controlled SDE with random coefficients. Moreover, there…
A common problem in the optimization of structures is the handling of uncertainties in the parameters. If the parameters appear in the constraints, the uncertainties can lead to an infinite number of constraints. Usually the constraints…
It is well known that stability is the most fundamental nature with regard to a control system, in view of this, the stabilization becomes an inevitable control problem. This article mainly discusses the optimal control and stabilization…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forward performance processes in a defaultable market under the…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…