相关论文: Viscosity Characterization of the Arbitrage Functi…

The relative arbitrage portfolio outperforms a benchmark portfolio over a given time-horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi-agent…

We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confidence is here represented using ellipsoidal uncertainty sets…

This paper presents a new methodology to craft navigation functions for nonlinear systems with stochastic uncertainty. The method relies on the transformation of the Hamilton-Jacobi-Bellman (HJB) equation into a linear partial differential…

This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…

This work concerns the optimal control problem for McKean-Vlasov SDEs. In order to characterize the value function, we develop the viscosity solution theory for Hamilton-Jacobi-Bellman (HJB) equations on the Wasserstein space using…

We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…

We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently…

We introduce a method for approximating viscosity solutions of stationary degenerate elliptic Hamilton--Jacobi--Bellman equations on bounded domains arising in stochastic exit-time control. Viscosity enforcement is formulated as a min--max…

In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic evolution equations in Hilbert…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…

This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…

Viscosity, as a physical property of fluids, reflects an average effect over a chaotic microscopic motion described by Hamiltonian equations. It is proposed, as an example, that stationary states of an incompressible fluid subject to a…

In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…

We introduce a novel extension to robust control theory that explicitly addresses uncertainty in the value function's gradient, a form of uncertainty endemic to applications like reinforcement learning where value functions are…

In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…

We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…

We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…

In this paper a duality relation between the Ma\~{n}\'e potential and Mather's action functional is derived in the context of convex and state-dependent Hamiltonians. The duality relation is used to obtain min-max representations of…

This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…

Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…