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math.OC2026
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
math.OC2026
Thompson Sampling Algorithm for Stochastic Games
Asaf Cohen, Ruolan He, Yuqiong Wang
We study a stochastic differential game with competitive players in a linear-quadratic framework with ergodic cost, where -dimensional diffusion processes govern the state d…