相关论文: A spectral method for an Optimal Investment proble…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be…
This paper considers the finite horizon portfolio rebalancing problem in terms of mean-variance optimization, where decisions are made based on current information on asset returns and transaction costs. The study's novelty is that the…
In this survey paper we present a class of shape optimization problems where the cost function involves the solution of a PDE of elliptic type in the unknown domain. In particular, we consider cost functions which depend on the spectrum of…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
In this paper, the problem of finite horizon inverse optimal control (IOC) is investigated, where the quadratic cost function of a dynamic process is required to be recovered based on the observation of optimal control sequences. We propose…
In this paper, we study two-player investment problems with investment costs that are bounded below by some fixed positive constant. We seek a description of optimal investment strategies for a duopoly problem in which two firms invest in…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
This work deals with the problem of choosing a time step for the numerical solution of boundary value problems for parabolic equations. The problem solution is derived using the fully implicit scheme, whereas a time step is selected via…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a non-homogeneous terminal value problem and we show that the…
We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…