Related papers: Mean-variance portfolio selection in jump-diffusio…
This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be…
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian regime-switching models in the sense that…
In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measure the level of exploration. By applying the classical…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into…
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main…
Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an optimization problem and assume that one of the assets in a…
We investigate the continuous-time Markowitz mean-variance portfolio selection problem within a multivariate class of fake stationary affine Volterra models. In this non-Markovian and non-semimartingale market framework with unbounded…
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle…
The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable…
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…