相关论文: Asymptotically optimal discretization of hedging s…

We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…

In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…

It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…

A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…

The maximum entropy principle is a powerful tool for solving underdetermined inverse problems. This paper considers the problem of discretizing a continuous distribution, which arises in various applied fields. We obtain the approximating…

This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…

The discretization of optimal transport problems often leads to large linear programs with sparse solutions. We derive error estimates for the approximation of the problem using convex combinations of Dirac measures and devise an active-set…

We consider a pointwise tracking optimal control problem for a semilinear elliptic partial differential equation. We derive the existence of optimal solutions and analyze first and, necessary and sufficient, second order optimality…

We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…

It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading prices (i.e., trades only occur if the…

In computational system biology, the mesoscopic model of reaction-diffusion kinetics is described by a continuous time, discrete space Markov process. To simulate diffusion stochastically, the jump coefficients are obtained by a…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…

Numerous Optimization Algorithms have a time-varying update rule thanks to, for instance, a changing step size, momentum parameter or, Hessian approximation. In this paper, we apply unrolled or automatic differentiation to a time-varying…

Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of…

We introduce the technique of adaptive discretization to design an efficient model-based episodic reinforcement learning algorithm in large (potentially continuous) state-action spaces. Our algorithm is based on optimistic one-step value…

In this paper, we study a continuous-time discounted jump Markov decision process with both controlled actions and observations. The observation is only available for a discrete set of time instances. At each time of observation, one has to…

This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate the classical Merton's portfolio optimization problem in a…

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…

Spectral clustering and its extensions usually consist of two steps: (1) constructing a graph and computing the relaxed solution; (2) discretizing relaxed solutions. Although the former has been extensively investigated, the discretization…