74 citations · 184 across the 30 of their papers we have counts for
4 papers · 1 filter
Multiarmed Bandits Problem Under the Mean-Variance Setting
Hongda Hu, Arthur Charpentier, Mario Ghossoub +1
The classical multi-armed bandit (MAB) problem involves a learner and a collection of K independent arms, each with its own ex ante unknown independent reward distribution. At each…
On the minimizers of energy forms with completely monotone kernel
Alexander Schied, Elias Strehle
Motivated by the problem of optimal portfolio liquidation under transient price impact, we study the minimization of energy functionals with completely monotone displacement kernel…
A state-constrained differential game arising in optimal portfolio liquidation
Alexander Schied, Tao Zhang
We consider risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a…
Capacitary measures for completely monotone kernels via singular control
Aurélien Alfonsi, Alexander Schied
We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms…