Related papers: Equilibrium control theory for Kihlstrom-Mirman pr…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty. The model leads to a system coupling a pair of…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…
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 conducted a laboratory experiment involving human subjects to test the theoretical hypothesis that equilibrium selection can be impacted by manipulating the games dynamics process, by using modern control theory. Our findings indicate…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
This paper studies optimal consumption, investment, and healthcare spending under Epstein-Zin preferences. Given consumption and healthcare spending plans, Epstein-Zin utilities are defined over an agent's random lifetime, partially…
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy with an exponential convergence rate. The design of the PIA…
In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear…
We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an…
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
We analyze the consequences that the so-called turnpike property has on the long-time behavior of the value function corresponding to a finite-dimensional linear-quadratic optimal control problem with general terminal cost and constrained…