Related papers: SIMPOL Model for Solving Continuous-Time Heterogen…
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…
With the growing adoption of agent-based models in policy evaluation, a pressing question arises: Can such systems effectively simulate and analyze complex social scenarios to inform policy decisions? Addressing this challenge could…
We treat infinite horizon optimal control problems by solving the associated stationary Hamilton-Jacobi-Bellman (HJB) equation numerically to compute the value function and an optimal feedback law. The dynamical systems under consideration…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
The optimization of mixed-variable problems remains a significant challenge. We propose an extension of the policy-based optimization method that handles mixed-variables problems in a natural way, through a simple policy combination. This…
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…
In the present work, a new approach is proposed for finding the analytical solution of population balances. This approach is relying on idea of Homotopy Perturbation Method (HPM). The HPM solves both linear and nonlinear initial and…
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial…
We study the policy iteration algorithm (PIA) for entropy-regularized stochastic control problems on an infinite time horizon with a large discount rate, focusing on two main scenarios. First, we analyze PIA with bounded coefficients where…
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short term forecasting and the interaction with time lag among…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy with an exponential convergence rate. The design of the PIA…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…
We analyze the problem of optimal reduction of the debt-to-GDP ratio in a stochastic control setting. The debt-to-GDP dynamics are modeled through a stochastic differential equation in which fiscal policy simultaneously affects both debt…
In this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we…
Optimal decision-making under partial observability requires agents to balance reducing uncertainty (exploration) against pursuing immediate objectives (exploitation). In this paper, we introduce a novel policy optimization framework for…
We address combinatorial problems that can be formulated as minimization of a partially separable function of discrete variables (energy minimization in graphical models, weighted constraint satisfaction, pseudo-Boolean optimization, 0-1…
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent is trading on a market with two financial assets, whose…