相关论文: Stochastic dynamic programming under recursive Eps…

This paper studies a robust continuous-time Markowitz portfolio selection pro\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This problem is formulated into a min-max mean-variance problem over…

A mathematical framework for Continuous Time Finance based on operator algebraic methods offers a new direct and entirely constructive perspective on the field and leads to new numerical analysis techniques. This is partly a review paper as…

Discrete time stochastic optimal control problems and Markov decision processes (MDPs) are fundamental models for sequential decision-making under uncertainty and as such provide the mathematical framework underlying reinforcement learning…

In this paper we study the behavior of finite dimensional fixed point iterations, induced by discretization of a continuous fixed point iteration defined within a Banach space setting. We show that the difference between the discrete…

In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…

We study value-iteration (VI) algorithms for solving general (a.k.a. multichain) Markov decision processes (MDPs) under the average-reward criterion, a fundamental but theoretically challenging setting. Beyond the difficulties inherent to…

In many branches of engineering, Banach contraction mapping theorem is employed to establish the convergence of certain deterministic algorithms. Randomized versions of these algorithms have been developed that have proved useful in…

Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…

We introduce a framework to approximate a Markov Decision Process that stands on two pillars: state aggregation -- as the algorithmic infrastructure; and central-limit-theorem-type approximations -- as the mathematical underpinning of…

Although average gain optimality is a commonly adopted performance measure in Markov Decision Processes (MDPs), it is often too asymptotic. Further incorporating measures of immediate losses leads to the hierarchy of bias optimalities, all…

We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require handling a double optimization problem…

We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game…

In this paper, the mean-variance portfolio selection problem with Poisson jumps are studied, where the recursive utility is given by the solution to a backward stochastic differential equation with Poisson jumps. Both the maximum principle…

Under the expected total reward criterion, the optimal value of a finite-horizon Markov decision process can be determined by solving the Bellman equations. The equations were extended by D. J. White to processes with vector rewards in…

Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…

This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…

Recursive stochastic algorithms have gained significant attention in the recent past due to data driven applications. Examples include stochastic gradient descent for solving large-scale optimization problems and empirical dynamic…

The analysis of Temporal Difference (TD) learning in the average-reward setting faces notable theoretical difficulties because the Bellman operator is not contractive with respect to any norm. This complicates standard analyses of…

In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under…

We present the first finite-sample analysis of policy evaluation in robust average-reward Markov Decision Processes (MDPs). Prior work in this setting have established only asymptotic convergence guarantees, leaving open the question of…