Related papers: Robust risk management via multi-marginal optimal …
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we…
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased"…
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization problems become even harder to solve numerically. Therefore,…
The control of active colloidal particles via optical traps is a cornerstone for research of matter at the micron and nanometer scale. A central challenge in this domain is the derivation of optimal transport protocols that minimize the…
We present a set-oriented graph-based computational framework for continuous-time optimal transport over nonlinear dynamical systems. We recover provably optimal control laws for steering a given initial distribution in phase space to a…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
In this paper, we study robust distributed sub-optimal coordination of linear agents subject to input nonlinearities. Inspired by the robust agreement literature, we formulate a bounded distributed sub-optimal coordination problem, in which…
We introduce a new non-linear optimal transport formulation for a pair of probability measures on $\mathbb{R}^d$ sharing a common barycentre, in which admissible transference plans satisfy two martingale-type constraints. This bi-martingale…
This paper is dedicated to the stability analysis of the optimal solutions of a control problem associated with a semilinear elliptic equation. The linear differential operator of the equation is neither monotone nor coercive due to the…
We consider the model of a transportation problem with the objective of finding a minimum-cost transportation plan for shipping a given commodity from a set of supply centers to the customers. Since the exact values of supply and demand and…
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this…
We introduce and investigate properties of a variant of the semi-discrete optimal transport problem. In this problem, one is given an absolutely continuous source measure and cost function, along with a finite set which will be the support…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
We develop improved rearrangement algorithms to find the dependence structure that minimizes a convex function of the sum of dependent variables with given margins. We propose a new multivariate dependence measure, which can assess the…
This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with…
In this work, we develop a collection of novel methods for the entropic-regularised optimal transport problem, which are inspired by existing mirror descent interpretations of the Sinkhorn algorithm used for solving this problem. These are…
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little…