activity
20052026
most citedUtility maximization in incomplete markets

439 citations · 440 across the 7 of their papers we have counts for

collaborators

7 papers

math.NA2026

Physics-based Approximation and Prediction of Speedlines in Compressor Performance Maps

Abdul-Malik Akiev, Danyal Ergür, Alexander Schirger +3

Speedlines in compressor performance maps (CPMs) are critical for understanding and predicting compressor behavior under various operating conditions. We investigate a physics-base…

eess.SY2025

A Unified Bayesian Framework for Data-Driven Smoothing, Prediction, and Control

Mingzhou Yin, Andrea Iannelli, Seyed Ali Nazari +1

Extending data-driven algorithms based on Willems' fundamental lemma to stochastic data often requires empirical and customized workarounds. This work presents a unified Bayesian f…

eess.SY2025

The Cesàro Value Iteration

Jonas Mair, Lukas Schwenkel, Matthias A. Müller +1

In this paper, we consider undiscouted infinite-horizon optimal control for deterministic systems with an uncountable state and input space. We specifically address the case when t…

eess.SY2025

Data-Driven Prediction and Control of Hammerstein-Wiener Systems with Implicit Gaussian Processes

Mingzhou Yin, Matthias A. Müller

This work investigates data-driven prediction and control of Hammerstein-Wiener systems using physics-informed Gaussian process (GP) models that encode the block-oriented model str…

eess.SY2022★ 1 cited

Modeling and Predictive Control for the Treatment of Hyperthyroidism

Tobias M. Wolff, Maylin Menzel, Johannes W. Dietrich +1

In this work, we propose an approach to determine the dosages of antithyroid agents to treat hyperthyroid patients. Instead of relying on a trial-and-error approach as it is common…

math.OC2022

Multiobjective strict dissipativity via a weighted sum approach

Lars Grüne, Lisa Krügel, Matthias A. Müller

We consider nonlinear model predictive control (MPC) with multiple competing cost functions. This leads to the formulation of multiobjective optimal control problems (MO OCPs). Sin…

math.PR2005★ 439 cited

Utility maximization in incomplete markets

Ying Hu, Peter Imkeller, Matthias Muller

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' tradin…