Related papers: Forward Backward SDEs Systems for Utility Maximiza…
This paper introduces a new formulation for stochastic optimal control and stochastic dynamic optimization that ensures safety with respect to state and control constraints. The proposed methodology brings together concepts such as…
We propose a novel problem formulation of continuous-time information propagation on heterogenous networks based on jump stochastic differential equations (SDE). The structure of the network and activation rates between nodes are naturally…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
Distributed and iterative network utility maximization algorithms, such as the primal-dual algorithms or the network-user decomposition algorithms, often involve trajectories where the iterates may be infeasible, convergence to the optimal…
This paper proposes a supervised training algorithm for learning stochastic resource allocation policies with generative diffusion models (GDMs). We formulate the allocation problem as the maximization of an ergodic utility function subject…
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stochastic differential equation (BSDE) with quadratic growth 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…
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…
Diffusion models have emerged as powerful generative tools with applications in computer vision and scientific machine learning (SciML), where they have been used to solve large-scale probabilistic inverse problems. Traditionally, these…
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks.…
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is…
News might trigger jump arrivals in financial time series. The "bad" and "good" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double…
We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…
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…
Due to the continuous advancements of orthogonal frequency division multiplexing (OFDM) and multiple antenna techniques, multiuser multiple input multiple output (MU-MIMO) OFDM is a key enabler of both fourth and fifth generation networks.…
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…
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random…
We study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is…
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…