Related papers: Optimal Consumption for Recursive Preferences with…
In this paper, we study second-order necessary and sufficient optimality conditions of Karush--Kuhn--Tucker-type for locally optimal solutions in the sense of Pareto to a class of multi-objective optimal control problems with mixed…
This paper revisits the classical problem of interval estimation of a binomial proportion under Huber contamination. Our main result derives the rate of optimal interval length when the contamination proportion is unknown under a local…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of…
In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
In this note, we develop the first-order theory of optimal control problems with box constraints on the control. We emphasize the precise modification of Pontryagin's maximum principle when the admissible control set is compact, the…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
We consider an individual or household endowed with an initial capital and an income, modeled as a linear function of time. Assuming that the discount rate evolves as an Ornstein-Uhlenbeck process, we target to find an unrestricted…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems in presence of adverse selection. The particular features…
We introduce and study the turnpike property for time-varying shapes, within the viewpoint of optimal control. We focus here on second-order linear parabolic equations where the shape acts as a source term and we seek the optimal…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…
A broad class of optimization problems can be cast in composite form, that is, considering the minimization of the composition of a lower semicontinuous function with a differentiable mapping. This paper investigates the versatile template…
Biological populations are subject to fluctuating environmental conditions. Different adaptive strategies can allow them to cope with these fluctuations: specialization to one particular environmental condition, adoption of a generalist…
We analyze the optimal policy for the sequential selection of an alternating subsequence from a sequence of $n$ independent observations from a continuous distribution $F$, and we prove a central limit theorem for the number of selections…
We study local controllability and optimal control problems for invertible discrete-time control systems. We present second order necessary conditions for optimality and sufficient conditions for local controllability. The conditions are…