Related papers: Maximum principle for robust utility optimization …
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the unique viscosity solution to the associated…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion, where Teugel's martingales are a family of pairwise…
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…
In this paper, we present a new class of Markov decision processes (MDPs), called Tsallis MDPs, with Tsallis entropy maximization, which generalizes existing maximum entropy reinforcement learning (RL). A Tsallis MDP provides a unified…
We calculate explicitly the optimal strategy for an investor with exponential utility function when the stock price follows an autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends…
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 is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by It\^o-L\'evy processes, but it also contains some new results on the underlying stochastic maximum…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…
In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that includes widely-used financial regulations such as short-selling…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter $\theta$, and the generator of BSDEs is of quadratic growth in $z$. Since the…
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the…
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion…