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pro vyhledávání: '"Ugurlu, Kerem"'
Autor:
Ugurlu, Kerem
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of the under
Externí odkaz:
http://arxiv.org/abs/1909.05335
Autor:
Ugurlu, Kerem
We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volatility of it is following GARCH(1) process. In particular, both mean and
Externí odkaz:
http://arxiv.org/abs/1807.05773
We investigate the convergence of the Galerkin approximation for the stochastic Navier-Stokes equations in an open bounded domain $\mathcal{O}$ with the non-slip boundary condition. We prove that \begin{equation*} \mathbb{E} \left[ \sup_{t \in [0,T]}
Externí odkaz:
http://arxiv.org/abs/1806.01498
Autor:
Ugurlu, Kerem
We consider a continuous time Principal-Agent model on a finite time horizon, where we look for the existence of an optimal contract both parties agreed on. Contrary to the main stream, where the principal is modelled as risk-neutral, we assume that
Externí odkaz:
http://arxiv.org/abs/1806.01495
Autor:
Shapiro, Alexander, Ugurlu, Kerem
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding risk measure are postulated which imply its decomposability. The other
Externí odkaz:
http://arxiv.org/abs/1806.01497
Autor:
Ugurlu, Kerem
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous but not nece
Externí odkaz:
http://arxiv.org/abs/1806.00983
Autor:
Uğurlu, Kerem
We show the continuity of a specific cost functional $J(\phi) = \mathbb{E} \sup_{ t \in [0,T]}(\varphi(\mathcal{L}[t,u_\phi(t), \phi(t)]))$ of the SNSE in 2D on an open bounded nonperiodic domain $\mathcal{O}$ with respect to a special set of feedbac
Externí odkaz:
http://arxiv.org/abs/1510.01042
Autor:
Ugurlu, Kerem
In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded $L^{1}$-costs in infinite horizon on a Markov Decision Process (MDP). With a suitable state aggregation and by choosing a priori a
Externí odkaz:
http://arxiv.org/abs/1501.02518
Akademický článek
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Autor:
Ugurlu, Kerem
We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that characterizes \
Externí odkaz:
http://arxiv.org/abs/1411.4441