相关论文: On optimum strategies for minimizing the exponenti…

In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…

We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…

We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order…

We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is…

We consider the problem of computing the value and an optimal strategy for minimizing the expected termination time in one-counter Markov decision processes. Since the value may be irrational and an optimal strategy may be rather…

We investigate the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution in a sequential setup. The aim is to jointly infer the true hypothesis and the true parameter while using on…

Time Optimal Path Parametrization is the problem of minimizing the time interval during which an actuation constrained agent can traverse a given path. Recently, an efficient linear-time algorithm for solving this problem was proposed.…

Considering the problem of risk-sensitive parameter estimation, we propose a fairly wide family of lower bounds on the exponential moments of the quadratic error, both in the Bayesian and the non--Bayesian regime. This family of bounds,…

This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arXiv:2101.09936, we analyze a power-utility maximization…

The problem of estimating a linear functional based on observational data is canonical in both the causal inference and bandit literatures. We analyze a broad class of two-stage procedures that first estimate the treatment effect function,…

In this paper, we consider asymptotics of the optimal value and the optimal solutions of parametric minimax estimation problems. Specifically, we consider estimators of the optimal value and the optimal solutions in a sample minimax problem…

In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…

Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uniqueness, rate of convergence, and the asymptotic…

We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $\mu$ to deduce…

Consider a decision maker who is responsible to dynamically collect observations so as to enhance his information about an underlying phenomena of interest in a speedy manner while accounting for the penalty of wrong declaration. Due to the…

In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…

This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

This paper investigates asymptotic behaviors of gradient descent algorithms (particularly accelerated gradient descent and stochastic gradient descent) in the context of stochastic optimization arising in statistics and machine learning…

We present a technique to study normalizing strategies when termination is asymptotic, that is, it appears as a limit, as opposite to reaching a normal form in a finite number of steps. Asymptotic termination occurs in several settings,…