Imagen de Portada

Utility maximization under endogenous pricing

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Nguyen, Thai, Stadje, Mitja
Formato:	Preprint
Publicado:	2020
Materias:	Mathematical Finance Optimization and Control Probability Primary 60H15, 93E20, secondary 60H30
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
por: Hambly, Ben, et al.
Publicado: (2023)

Quantitative convergence rates for extended mean field games with volatility control
por: Bayraktar, Erhan, et al.
Publicado: (2026)

Existence of optimal controls for stochastic Volterra equations
por: Cárdenas, Andrés, et al.
Publicado: (2022)

Closed-loop equilibria for Stackelberg games: a story about stochastic targets
por: Hernández, Camilo, et al.
Publicado: (2024)

A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
por: Bensoussan, Alain, et al.
Publicado: (2024)

Stochastic maximum principle for optimal control of infinitely delayed systems of functional type in infinite dimensions
por: Cheng, Guanwei
Publicado: (2026)

2BSDE with uncertain horizon and application to stochastic control in erratic environments
por: Gennaro, Alberto, et al.
Publicado: (2025)

Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
por: Dianetti, Jodi, et al.
Publicado: (2024)

Long-Term Average Impulse and Singular Control of a Growth Model with Two Revenue Sources
por: Helmes, K. L., et al.
Publicado: (2026)

Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
por: Karoui, Nicole El, et al.
Publicado: (2013)

Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
por: Bonaccorsi, Stefano, et al.
Publicado: (2017)

Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps
por: Bender, Christian, et al.
Publicado: (2023)

Transposition Approach to Optimal Control of McKean-Vlasov SPDEs
por: Chen, Liangying, et al.
Publicado: (2026)

Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
por: Qian, Hongjiang, et al.
Publicado: (2026)

A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
por: Fu, Guanxing, et al.
Publicado: (2024)

Utility maximization in multivariate Volterra models
por: Aichinger, Florian, et al.
Publicado: (2021)

Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
por: Dianetti, Jodi, et al.
Publicado: (2024)

Ergodic control of McKean-Vlasov systems on the Wasserstein space
por: Fuhrman, Marco, et al.
Publicado: (2025)

Recursive Optimal Stopping with Poisson Stopping Constraints
por: Liang, Gechun, et al.
Publicado: (2024)

On approximations of stochastic optimal control problems with an application to climate equations
por: Flandoli, Franco, et al.
Publicado: (2024)

A Regime-Switching Approach to the Unbalanced Schrödinger Bridge Problem
por: Zlotchevski, Andrei, et al.
Publicado: (2025)

Markovian lifting and optimal control for integral stochastic Volterra equations with completely monotone kernels
por: Bonaccorsi, Stefano, et al.
Publicado: (2024)

Optimality Conditions for Control Systems Governed by Monotone Stochastic Evolution Equations
por: Ciotir, Ioana, et al.
Publicado: (2025)

Drift Optimization of Regulated Stochastic Models Using Sample Average Approximation
por: Zhou, Zihe, et al.
Publicado: (2025)

A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
por: Hounkpe, Onésime, et al.
Publicado: (2026)

A Novel Approach to Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations
por: Spille, Johan Benedikt, et al.
Publicado: (2026)

On Bellman equation in the limit order optimization problem for high-frequency trading
por: Balakaeva, M. I., et al.
Publicado: (2025)

Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
por: Bondi, Alessandro, et al.
Publicado: (2025)

Optimal control, viscosity approximation and Arrhenius Law for the shallow lake problem
por: Koutsimpela, Angeliki, et al.
Publicado: (2024)

Single-Item Continuous-Review Inventory Models with Random Supplies
por: Helmes, K. L., et al.
Publicado: (2024)

Ergodic distribution dependent BSDE and application to long-time behavior of finite horizon distribution dependent BSDE
por: Desbouis, Kaplan, et al.
Publicado: (2025)

Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes
por: Ye, Yuyang, et al.
Publicado: (2024)

The value of partial information
por: Ernst, Philip A., et al.
Publicado: (2025)

The indifference value of the weak information
por: Baudoin, Fabrice, et al.
Publicado: (2024)

Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
por: Horst, Ulrich, et al.
Publicado: (2025)

Partially observed controlled Markov chains and optimal control of the Wonham filter
por: Confortola, Fulvia, et al.
Publicado: (2026)

The randomization method in stochastic optimal control
por: Fuhrman, Marco
Publicado: (2025)

McKean-Vlasov forward-backward doubly stochastic differential equations and applications to stochastic control
por: Al-Hussein, AbdulRahman, et al.
Publicado: (2024)

Maximum principle for discrete-time robust stochastic optimal control problem
por: He, Wei
Publicado: (2025)

The perturbation method applied to a robust optimization problem with constraint
por: Luo, Peng, et al.
Publicado: (2024)