48 citations · 357 across the 28 of their papers we have counts for
32 papers
Optimality of Threshold Policies for Heat Storage Optimization and a Policy Gradient Algorithm
Nicole Bäuerle, Florian Döttling
We study the optimal control of a stylized finite-horizon heat-storage system operated by a prosumer who can buy heat from and sell heat to a district heating network. Heat product…
Policy stability and ultimate stationarity in discounted risk-sensitive stochastic control
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
We study discrete-time Markov Decision Processes (MDPs) on finite state-action spaces and analyze the stability of optimal policies and value functions in the long-run discounted r…
Blackwell optimality and policy stability for long-run risk sensitive stochastic control
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-…
Markov Decision Processes with Risk-Sensitive Criteria: An Overview
Nicole Bäuerle, Anna Jaśkiewicz
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certain…
Continuous-time mean field Markov decision models
Nicole Bäuerle, Sebastian Höfer
We consider a finite number of statistically equal agents, each moving on a finite set of states according to a continuous-time Markov Decision Process (MDP). Transition intens…
Nash equilibria for relative investors with (non)linear price impact
Nicole Bäuerle, Tamara Göll
We consider the strategic interaction of investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors.…
Optimal investment in ambiguous financial markets with learning
Nicole Bäuerle, Antje Mahayni
We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unk…
Time-consistency in the mean-variance problem: A new perspective
Nicole Bäuerle, Anna Jaśkiewicz
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transitio…
Finite Approximations for Mean Field Type Multi-Agent Control and Their Near Optimality
Erhan Bayraktar, Nicole Bauerle, Ali Devran Kara
We study a multi-agent mean field type control problem in discrete time where the agents aim to find a socially optimal strategy and where the state and action spaces for the agent…
Nash equilibria for relative investors via no-arbitrage arguments
Nicole Bäuerle, Tamara Göll
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for agents who try to maximize…
Mean Field Markov Decision Processes
Nicole Bäuerle
We consider mean-field control problems in discrete time with discounted reward, infinite time horizon and compact state and action space. The existence of optimal policies is show…
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
Nicole Bäuerle, Gregor Leimcke
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when opti…
Minimizing Spectral Risk Measures Applied to Markov Decision Processes
Nicole Bäuerle, Alexander Glauner
We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP i…
Stochastic dynamic programming with non-linear discounting
Nicole Bäuerle, Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-ad…
Markov Decision Processes with Recursive Risk Measures
Nicole Bäuerle, Alexander Glauner
In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces and unbounded cost under both finite and infinite planning horizons. O…
Distributionally Robust Markov Decision Processes and their Connection to Risk Measures
Nicole Bäuerle, Alexander Glauner
We consider robust Markov Decision Processes with Borel state and action spaces, unbounded cost and finite time horizon. Our formulation leads to a Stackelberg game against nature.…
Robust Optimal Investment and Reinsurance Problems with Learning
Nicole Bäuerle, Gregor Leimcke
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple busines…
Consistent upper price bounds for exotic options given a finite number of call prices and their convergence
Nicole Bäuerle, Daniel Schmithals
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian…
Markov Decision Processes under Ambiguity
Nicole Bäuerle, Ulrich Rieder
We consider statistical Markov Decision Processes where the decision maker is risk averse against model ambiguity. The latter is given by an unknown parameter which influences the…
Risk Management with Tail Quasi-Linear Means
Nicole Bäuerle, Tomer Shushi
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its genera…
Optimal Risk Allocation in Reinsurance Networks
Nicole Bäuerle, Alexander Glauner
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that th…
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes
Nicole Bäuerle, Dirk Lange
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller re…
Extremal Behavior of Long-Term Investors with Power Utility
Nicole Bäuerle, Stefanie Grether
We consider a Bayesian financial market with one bond and one stock where the aim is to maximize the expected power utility from terminal wealth. The solution of this problem is kn…
Risk-Sensitive Stopping Problems for Continuous-Time Markov Chains
Nicole Bäuerle, Anton Popp
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horiz…