59 citations · 60 across the 3 of their papers we have counts for
5 papers
A Duality Result for Robust Optimization with Expectation Constraints
Christopher W. Miller
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitra…
Distribution-Constrained Optimal Stopping
Erhan Bayraktar, Christopher W. Miller
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms.…
Optimal Control of Conditional Value-at-Risk in Continuous Time
Christopher W. Miller, Insoon Yang
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time…
Non-linear PDE Approach to Time-Inconsistent Optimal Stopping
Christopher W. Miller
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In partic…
Optimal Dynamic Contracts for a Large-Scale Principal-Agent Hierarchy: A Concavity-Preserving Approach
Christopher W. Miller, Insoon Yang
We present a continuous-time contract whereby a top-level player can incentivize a hierarchy of players below him to act in his best interest despite only observing the output of h…