3 papers
math.OC2026
Eventual convexity for separable chance constraints with skewed generalized hyperbolic random variables
Heng Zhang, Abdel Lisser
Chance constraints are widely used in optimization under uncertainty. This paper aims to show the eventual convexity (EV) of chance constraints with skewed generalized hyperbolic (…
quant-ph2026
Learning PDEs for Portfolio Optimization with Quantum Physics-Informed Neural Networks
Letao Wang, Abdel Lisser, Sreejith Sreekumar +1
Partial differential equations (PDEs) play a crucial role in financial mathematics, particularly in portfolio optimization, and solving them using classical numerical or neural net…
math.OC2025
Convex Approximations of Random Constrained Markov Decision Processes
V Varagapriya, Vikas Vikram Singh, Abdel Lisser
Constrained Markov decision processes (CMDPs) are used as a decision-making framework to study the long-run performance of a stochastic system. It is well-known that a stationary o…