5 papers · 1 filter
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…
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…
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…
Blackwell optimality and policy stability for long-run risk sensitive stochastic control
Nicole Bäuerle, Marcin Pitera, Åukasz 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-…
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.…