3 papers
math.OC2025
-Potential Games for Decentralized Control of Connected and Automated Vehicles
Xuan Di, Anran Hu, Zhexin Wang +1
Designing scalable and safe control strategies for large populations of connected and automated vehicles (CAVs) requires accounting for strategic interactions among heterogeneous a…
math.OC2025
Entropic Optimal Transport Problem with Convex Functional Cost
Anna Kazeykina, Zhenjie Ren, Xiaozhen Wang +1
We study an entropic optimal transport problem in which the transport plan is penalized by a nonlinear convex functional acting on the coupling. We establish existence, uniqueness,…
q-fin.PM2024
Optimal Investment with Costly Expert Opinions
Christoph Knochenhauer, Alexander Merkel, Yufei Zhang
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that t…