Related papers: Optimal stopping and divestment timing under scena…

When navigating complex environments, animals often combine multiple strategies to mitigate the effects of external disturbances. These modalities often correspond to different sources of information, leading to speed-accuracy trade-offs.…

This paper proposes a formal approach to online learning and planning for agents operating in a priori unknown, time-varying environments. The proposed method computes the maximally likely model of the environment, given the observations…

Consider a remote estimation problem where a sensor wants to communicate the state of an uncertain source to a remote estimator over a finite time horizon. The uncertain source is modeled as an autoregressive process with bounded noise.…

We extend the classical setting of an optimal stopping problem under full information to include for problems with an unknown state. The framework allows the unknown state to influence (i) the drift of the underlying process, (ii) the…

We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…

In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…

This work proposes a conformal approach for energy storage arbitrage to control the downside risk arising from imperfect price forecasts. Energy storage arbitrage relies solely on predictions of future market prices, while inaccurate price…

We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…

This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…

We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…

We study decision timing problems on finite horizon with Poissonian information arrivals. In our model, a decision maker wishes to optimally time her action in order to maximize her expected reward. The reward depends on an unobservable…

We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that…

In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by switching between different states/investments. However, he is…

Firms increasingly delegate decisions to learning algorithms in platform markets. Standard algorithms perform well when platform policies are stationary, but firms often face ambiguity about whether policies are stationary or adapt…