Related papers: On Linear Threshold Policies for Continuous-Time D…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Many policies hinge on a continuous variable exceeding a threshold, prompting strategic behavior by agents to stay on the favorable side. This creates density discontinuities at cutoffs, evident in contexts like taxable income, corporate…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-additive utility functions considered in a number of models in…
In this work, we develop a method based on robust control techniques to synthesize robust time-varying state-feedback policies for finite, infinite, and receding horizon control problems subject to convex quadratic state and input…
In this paper one presents method for the computation of convergence bounds for four classes of multiserver queueing systems, described by inhomogeneous Markov chains. Specifically one considers inhomogeneous $M/M/S$ queueing system with…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
In this study, we investigate the problem of dynamic multi-product selection and pricing by introducing a novel framework based on a \textit{censored multinomial logit} (C-MNL) choice model. In this model, sellers present a set of products…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
In this paper, we present a new approach to distributed moving horizon estimation for constrained nonlinear processes. The method involves approximating the arrival costs of local estimators through a recursive framework. First, distributed…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
We consider sequential decision problems in which we adaptively choose one of finitely many alternatives and observe a stochastic reward. We offer a new perspective of interpreting Bayesian ranking and selection problems as adaptive…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
We consider the finite horizon continuous reinforcement learning problem. Our contribution is three-fold. First,we give a tractable algorithm based on optimistic value iteration for the problem. Next,we give a lower bound on regret of order…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
In this paper, we focus on formal synthesis of control policies for finite Markov decision processes with non-negative real-valued costs. We develop an algorithm to automatically generate a policy that guarantees the satisfaction of a…
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We suggest to use path-wise growth optimality as the decision criterion and encode preferences through restrictions on the class…