We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...

We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance objective. We compare their performance for a European call option in the presence of transaction costs under discrete trading schedules....

In this note we formulate an optimality problem for Stochastic process with a regime absorbing state. We present a solution for this problem as a pair of differential equations that are recusrsively linked. As an application I obtain an analytical for the Merton portfolio problem in a case for a...

Consider robust utility maximization with an irreversible consumption habit, where an agent concerned about model ambiguity is unwilling to decrease consumption and must simultaneously contend with a disutility (i.e., an adjustment cost) due to a consumption increase. While the optimization is a...

Ai and Li [2015] introduced a problem at the interface of the neoclassical investment and dynamic contract theories. Specifically, the authors consider the optimal design of a contract that provides sufficient incentives to the management for it to implement the shareholder’s investment plan...