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We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…
We study computationally and statistically efficient Reinforcement Learning algorithms for the linear Bellman Complete setting. This setting uses linear function approximation to capture value functions and unifies existing models like…
In this work, we study discrete-time Markov decision processes (MDPs) under constraints with Borel state and action spaces and where all the performance functions have the same form of the expected total reward (ETR) criterion over the…
A recent method for solving zero-sum partially observable stochastic games (zs-POSGs) embeds the original game into a new one called the occupancy Markov game. This reformulation allows applying Bellman's principle of optimality to solve…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…
Continuously extending combinatorial optimization objectives is a powerful technique commonly applied to the optimization of set functions. However, few such methods exist for extending functions on permutations, despite the fact that many…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of the theory by relaxing compactness and boundedness…
Many recent successful (deep) reinforcement learning algorithms make use of regularization, generally based on entropy or Kullback-Leibler divergence. We propose a general theory of regularized Markov Decision Processes that generalizes…
This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is…
Problems arise when using reward functions to capture dependencies between sequential time-constrained goal states because the state-space must be prohibitively expanded to accommodate a history of successfully achieved sub-goals. Also,…
We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…
Markov automata combine non-determinism, probabilistic branching, and exponentially distributed delays. This compositional variant of continuous-time Markov decision processes is used in reliability engineering, performance evaluation and…
This paper presents a new safety specification method that is robust against errors in the probability distribution of disturbances. Our proposed distributionally robust safe policy maximizes the probability of a system remaining in a…
We study a stochastic first order primal-dual method for solving convex-concave saddle point problems over real reflexive Banach spaces using Bregman divergences and relative smoothness assumptions, in which we allow for stochastic error in…