3 papers
math.OC2025
Yet Another Distributional Bellman Equation
Nicole Bäuerle, Tamara Göll, Anna JaÅkiewicz
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general…
math.OC2025
Relative portfolio optimization via a value at risk based constraint
Nicole Bäuerle, Tamara Göll
In this paper, we consider agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility…
math.OC2025
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…