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Found 9 papers, 0 papers with code
Partial Information Breeds Systemic Risk
The formula under partial information involves an additional state process that serves to filter the true state of the expected return.
Minimizing the Repayment Cost of Federal Student Loans
Federal student loans are fixed-rate debt contracts with three main special features: (i) borrowers can use income-driven schemes to make payments proportional to their income above subsistence, (ii) after several years of good standing, the remaining balance is forgiven but taxed as ordinary income, and (iii) accrued interest is simple, i. e., not capitalized.
GANs as Gradient Flows that Converge
A main result shows that along the gradient flow induced by a distribution-dependent ordinary differential equation (ODE), the unknown data distribution emerges as the long-time limit.
Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process.
Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences
This paper studies optimal consumption, investment, and healthcare spending under Epstein-Zin preferences.
Generalized Duality for Model-Free Superhedging given Marginals
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset.
Optimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium Approach
This allows us to capture much more diverse behavior, depending on an agent's ambiguity attitude, beyond the standard worst-case (or best-case) analysis.
Epstein-Zin Utility Maximization on a Random Horizon
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon.
