5 papers · 1 filter
Policy Gradient Learning for Distributionally Robust Markov Decision Processes under Wasserstein Ambiguity
Yadh Hafsi, Samy Mekkaoui, Huyên Pham +1
We study finite-horizon Markov decision processes under distributional uncertainty in the transition kernels and develop a policy-gradient framework for Wasserstein distributionall…
Optimal consumption under adjustment costs with respect to multiple reference levels
Yijie Huang, Kaixin Yan, Qinyi Zhang
This paper studies a type of consumption preference where some adjustment costs are incured whenever the past spending maximum and the past spending minimum records are updated. Th…
Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
Lijun Bo, Yijie Huang, Kaixin Yan +1
This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic sta…
Value Maximization under Stochastic Quasi-Hyperbolic Discounting
Kaixin Yan, Wenyuan Wang, Jinxia Zhu
We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention…
De Finetti's Poissonian Dividend Control Problem under Spectrally Positive Markov Additive Process
Lijun Bo, Wenyuan Wang, Kaixin Yan
We study a De Finetti's optimal dividend and capital injection problem under a Markov additive model. The surplus process without dividend and capital injection is assumed to follo…