Related papers: State Dependent Utility
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the It\^o random fields which are utility functions $U(t,x)$ for any $(\omega,t)$. The main tool is the marginal utility $U_x(t,x)$ and its inverse expressed as the…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
We introduce a new interpretation of two related notions - conditional utility and utility independence. Unlike the traditional interpretation, the new interpretation renders the notions the direct analogues of their probabilistic…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…
In this paper, we study representative investor's G-utility maximization problem by G-martingale approach in the framework of G-expectation space proposed by Peng \cite{Pe19}. Financial market has only a bond and a stock with uncertainty…
We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an inefficient to an efficient state as the…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
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…
The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the…
This work's purpose is to understand the dynamics of some social systems whose properties can be captured by certain iterated function systems. To achieve this intension, we start from the theory of iterated function systems, and then we…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical…
Stochastic dynamics in the energy representation is employed as a method to study non-equilibrium Brownian-like systems. It is shown that the equation of motion for the energy of such systems can be taken in the form of the Langevin…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…