Related papers: Stochastic Analysis of Overlapping Generations Mod…
The canonical theory of sublinear expectations, a foundation of stochastic calculus under ambiguity, is insensitive to the non-convex geometry of primitive uncertainty models. This paper develops a new stochastic calculus for a structured…
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and…
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with…
We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the liabilities. The settlement of the debts of various…
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We illustrate the application thereof in utility optimization with…
Stochastic reaction networks are a fundamental model to describe interactions between species where random fluctuations are relevant. The master equation provides the evolution of the probability distribution across the discrete state space…
We study partially linear models when the outcome of interest and some of the covariates are observed in two different datasets that cannot be linked. This type of data combination problem arises very frequently in empirical microeconomics.…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) with or without constraints on wealth and portfolio process.…
In this work, we extend deep learning-based numerical methods to fully coupled forward-backward stochastic differential equations (FBSDEs) within a non-Markovian framework. Error estimates and convergence are provided. In contrast to the…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
This paper provides a unifying theoretical framework for stochastic optimization algorithms by means of a latent stochastic variational problem. Using techniques from stochastic control, the solution to the variational problem is shown to…
In this article, we concern a kind of partially observed non-zero sum stochastic differential game based on forward and backward stochastic differential equations (FBSDEs). It is required that each player has his own observation equation,…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
Lacking lifetime income data, most intergenerational mobility estimates are subject to lifecycle bias. Using long income series from Sweden and the US, we illustrate that standard correction methods struggle to account for one important…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
We introduce a multivariate multidimensional mixed-effects regression model in a finite mixture framework. We relax the usual unidimensionality assumption on the random effects multivariate distribution. Thus, we introduce a…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
In a dynamic economy, we characterize the fiscal policy of the government when it levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure. Default may occur in equilibrium as it prevents the government…