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pro vyhledávání: '"Junca, Mauricio"'
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish sufficient c
Externí odkaz:
http://arxiv.org/abs/2308.02095
Autor:
Fonseca, Diego, Junca, Mauricio
This work presents a new Distributionally Robust Optimization approach, using $p$-Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in this approach depends on the decision variable and is represented as a b
Externí odkaz:
http://arxiv.org/abs/2303.03971
Autor:
Fonseca, Diego, Junca, Mauricio
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using Wasserstein distances, where the ambiguity set depends on the decision
Externí odkaz:
http://arxiv.org/abs/2111.04663
The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equation with polynomial constraints, at the price of solving semidefinite
Externí odkaz:
http://arxiv.org/abs/2101.06009
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We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to the aforem
Externí odkaz:
http://arxiv.org/abs/1808.02182
Autor:
Avila, Daniel, Junca, Mauricio
We consider a Markov control model in discrete time with countable both state space and action space. Using the value function of a suitable long-run average reward problem, we study various reachability/controllability problems. First, we characteri
Externí odkaz:
http://arxiv.org/abs/1806.00052
Publikováno v:
Adv. Appl. Probab. 51 (2019) 633-666
We consider de Finetti's problem for spectrally one-sided L\'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of ruin. To c
Externí odkaz:
http://arxiv.org/abs/1803.08492
We propose convex optimization algorithms to recover a good approximation of a point measure $\mu$ on the unit sphere $S\subseteq \mathbb{R}^n$ from its moments with respect to a set of real-valued functions $f_1,\dots, f_m$. Given a finite subset $C
Externí odkaz:
http://arxiv.org/abs/1710.09496
Akademický článek
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