93e20

Documents about 93e20

• Optimal Comfortable Consumption under Epstein-Zin utility#633225arXiv (OAI Expanded)
• Optimal Comfortable Consumption under Epstein-Zin utility#635574arXiv (All)
• Stochastic Optimal Control Problem under Inside Information#822559arXiv (All)
• Consumption-investment under alternative stochastic-integral conventions#1386994arXiv (All)
• Optimal Execution under Liquidity Uncertainty#139183arXiv (OAI)
• Trembling-Hand Perfection in Mean Field Games#972034arXiv (All)
• Weakly chained matrices, policy iteration, and impulse control#984767arXiv (All)
• Finite-Horizon Reversible Investment under Multi-Factor Dynamics#1131247arXiv (All)
• Mirror descent for constrained stochastic control problems#984863arXiv (All)
• Maximum principle for robust utility optimization via Tsallis relative entropy#1118421arXiv (All)
• Path-Space Robust Bayesian Portfolio Selection#1155242arXiv (All)
• Stochastic internal habit formation and optimality#1355881arXiv (All)
• Ergodic Linear-Quadratic Optimal Control with Stochastic Coefficients#1423011arXiv (All)
• A Two-fold Randomization Framework for Impulse Control Problems#160956arXiv (OAI)
• Continuous-time multi-armed bandits under random intervention times#1035417arXiv (All)
• Thompson Sampling for Infinite-Horizon Discounted Decision Processes#1049572arXiv (All)
• Portfolio Choice under General Utility with Transaction Costs and Search Frictions#1155933arXiv (All)
• Risk-Constrained MPPI Tuning with Update-Aware MA-ES Racing#1325861arXiv (All)
• Minimal norm control problems for linear mean-field control systems#1343031arXiv (All)
• On integrability of local utility maximizing strategies#1343114arXiv (All)
• Optimal Dividends and Proactive Capital Injection over a Finite Horizon#1413326arXiv (All)
• Stochastic recursive optimal control problem with monotonicity conditions under G-framework#609814arXiv (All)
• Stochastic Optimal Control of Hawkes Jump-Diffusion Systems#790236arXiv (OAI Expanded)
• Stochastic Optimal Control of Hawkes Jump-Diffusion Systems#794255arXiv (All)
• Tractable bank capital structure: optimal control under Basel III constraints#797384arXiv (OAI Expanded)
• Tractable bank capital structure: optimal control under Basel III constraints#798798arXiv (All)
• Mean-field optimal stopping with endogenous quantile cutoffs#925625arXiv (All)
• Mean-field quadratic BSDEs and related mean-field portfolio games of controls#985319arXiv (All)
• On Fast-Slow Mean-Field Forward-Backward Stochastic Systems#1076558arXiv (All)
• Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets#1129110arXiv (All)
• Target-Generated Dirichlet Problems in State-Constrained Stochastic Control#1201700arXiv (All)
• Stationary Ergodic Mean-field Games of Constrained Singular Controls#1297896arXiv (All)
• Learning Optimal Robust-Pathwise Control of Elliptic Equations with Random Coefficients#1325554arXiv (All)
• Optimal transportation under McKean-Vlasov dynamics#1342838arXiv (All)
• A noncommunicative Kalman condition for null controllability of backward stochastic parabolic systems#1399943arXiv (All)
• The Exact Boundary of Linear Optimality in Witsenhausen's Counterexample#1400668arXiv (All)
• Stochastic Control Problems Motivated by Sailboat Trajectory Optimization#789374arXiv (OAI Expanded)
• Stochastic Control Problems Motivated by Sailboat Trajectory Optimization#793378arXiv (All)
• Duality for Stochastic Control with non-Markovian Random Coefficients#972052arXiv (All)
• Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games#1014457arXiv (All)
• On Control of Drawdown: Robust Invariance and Optimality#1049016arXiv (All)
• Unwinding Toxic Flow with Partial Information#1122888arXiv (OAI Expanded)
• Spouse-Protected Tontines: Household Decumulation via Neural-Network Optimization#1144536arXiv (All)
• Optimal Investment and Consumption in a Stochastic Factor Model#1187256arXiv (All)
• Duality Theory for Filter Stability in Hidden Markov Models#1325981arXiv (All)
• Quantitative Convergence of Markov Equilibria for Time-Inconsistent Controlled Diffusions#1343887arXiv (All)
• Continuous-Time q-Learning with Nonsmooth Value Functions: a BSDE Approach#1355102arXiv (All)
• A new perspective on the Løkka-Zervos dichotomy for absolutely continuous dividend strategies#664211arXiv (OAI Expanded)
• A new perspective on the Løkka-Zervos dichotomy for absolutely continuous dividend strategies#665711arXiv (All)
• Optimal Retirement Choice under Age-dependent Force of Mortality#987362arXiv (All)