相关论文: Stochastic dynamic programming under recursive Eps…

In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated,…

We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman optimality principle no longer holds. Our formulation is…

The problem of solving Markov decision processes under function approximation remains a fundamental challenge, even under linear function approximation settings. A key difficulty arises from a geometric mismatch: while the Bellman…

We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…

We consider challenging dynamic programming models where the associated Bellman equation, and the value and policy iteration algorithms commonly exhibit complex and even pathological behavior. Our analysis is based on the new notion of…

We consider the estimation of dynamic discrete choice models in a semiparametric setting, in which the per-period utility functions are known up to a finite number of parameters, but the distribution of utility shocks is left unspecified.…

We establish linear convergence of relocated fixed-point iterations as introduced by Atenas et al. (2025) assuming the algorithmic operator satisfies a linear error bound. In particular, this framework applies to the setting where the…

Markov decision problems are most commonly solved via dynamic programming. Another approach is Bellman residual minimization, which directly minimizes the squared Bellman residual objective function. However, compared to dynamic…

We present an efficient robust value iteration for \texttt{s}-rectangular robust Markov Decision Processes (MDPs) with a time complexity comparable to standard (non-robust) MDPs which is significantly faster than any existing method. We do…

In this paper, we introduce some new iterative optimisation algorithms on Riemannian manifolds and Hilbert spaces which have good global convergence guarantees to local minima. More precisely, these algorithms have the following properties:…

We develop the first general-purpose estimator for infinite-horizon dynamic discrete choice models whose estimation problem, after pre-computation, is unencumbered by large systems of linear equations -- either imposed as constraints, or…

This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount…

This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we study stochastic control problems in the…

Solving Markov Decision Processes (MDPs) remains a central challenge in sequential decision-making, especially when dealing with large state spaces and long-term optimization criteria. A key step in Bellman dynamic programming algorithms is…

We consider Markov Decision Problems defined over continuous state and action spaces, where an autonomous agent seeks to learn a map from its states to actions so as to maximize its long-term discounted accumulation of rewards. We address…

This paper proposes an algorithm for solving structured optimization problems, which covers both the backward-backward and the Douglas-Rachford algorithms as special cases, and analyzes its convergence. The set of fixed points of the…

The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…

Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…

Distributional reinforcement learning improves performance by capturing environmental stochasticity, but a comprehensive theoretical understanding of its effectiveness remains elusive. In addition, the intractable element of the infinite…

The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, which is highly relevant from a financial perspective but also…