相关论文: Theoretical and Numerical Analysis of an Optimal E…

This paper presents several results on performance analysis for a class of uncertain linear quantum systems subject to either quadratic or non-quadratic perturbations in the system Hamiltonian. Also, coherent guaranteed cost controllers are…

In this paper we study an optimization problem in which the control is information, more precisely, the control is a $\sigma$-algebra or a filtration. In a dynamic setting, we establish the dynamic programming principle and the law…

We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…

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 control of relaxation-type systems of ordinary differential equations is investigated using the Hamilton-Jacobi-Bellman equation. First, we recast the model as a singularly perturbed dynamics which we embed in a family of controlled…

In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or…

We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased estimator for the quadratic covariation of two It\^{o} processes in the case where…

We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…

We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…

We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…

In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its…

This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…

In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…

We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…

In this paper, we provide an example of the optimal growth model in which there exist infinitely many solutions to the Hamilton-Jacobi-Bellman equation but the value function does not satisfy this equation. We consider the cause of this…

We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also…

This paper studies a class of time-inconsistent mean field control (MFC) problems in the presence of common noise under non-exponential discount and joint law dependence of both state and control. We investigate the closed-loop…

This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…

We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We identify both a class of utilities and a class of…