Related papers: Forward Backward SDEs Systems for Utility Maximiza…
This paper studies a portfolio allocation problem, where the goal is to prescribe the wealth distribution at the final time. We study this problem with the tools of optimal mass transport. We provide a dual formulation which we solve by a…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
Offline black-box optimization aims to discover novel designs with high property scores using only a static dataset, a task fundamentally challenged by the out-of-distribution (OOD) extrapolation problem. Existing approaches typically…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
Open-world egocentric activity recognition poses a fundamental challenge due to its unconstrained nature, requiring models to infer unseen activities from an expansive, partially observed search space. We introduce ProbRes, a Probabilistic…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
We first describe a general class of optimization problems that describe many natural, economic, and statistical phenomena. After noting the existence of a conserved quantity in a transformed coordinate system, we outline several instances…
Electro-energy-reaction-diffusion systems are thermodynamically consistent continuum models for reaction-diffusion processes that account for temperature and electrostatic effects in a way that total charge and energy are conserved. The…
This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…
Financial returns are known to exhibit heavy tails, volatility clustering and abrupt jumps that are poorly captured by classical diffusion models. Advances in machine learning have enabled highly flexible functional forms for conditional…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
This paper introduces a statistical treatment of inverse problems constrained by models with stochastic terms. The solution of the forward problem is given by a distribution represented numerically by an ensemble of simulations. The goal is…
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…
This paper gives direct derivations of the differential equations and likelihood formulas of diffusion models assuming only knowledge of Gaussian distributions. A VAE analysis derives both forward and backward stochastic differential…
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,…
We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Zhao (2011), combining Hawkes and Cox processes with shot…