arXiv subjects

Dariusz Zawisza

Publications and source records attributed to Dariusz Zawisza.

9 recordsLinked to original sources

arXiv2025

Stochastic exit-time control on the half-line over a finite horizon

We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the resulting parabolic Hamilton-Jacobi-Bellman equation has a classical solution. In fact, we consider an even more general family of semilinear equations, which might be helpful in solving other control or game problems. Not only is the existence result proved, but also a recursive procedure for finding a solution resulting from a fixed-point argument is provided.

math.OC↗

arXiv2025

Stochastic control on the half-line and applications to the optimal dividend/consumption problem

We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations has smooth solution. The aforementioned result is used to solve the optimal dividend and consumption problem. In the proof we use a fixed point type argument, with an operator which is based on the stochastic representation for a linear equation.

math.OC↗

arXiv2021

The investor problem based on the HJM model

We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with different maturities are described by the general HJM factor model. We assume that the bond market consists of entire family of rolling bonds and the investment strategy is a general signed measure distributed on all real numbers representing time to maturity specifications for different rolling bonds. In particular, we can consider portfolio of coupon bonds. The investor's objective is to maximize time-additive utility of the consumption process. We solve the problem by means of the HJB equation for which we prove required regularity of its solution and all required estimates to ensure applicability of the verification theorem. Explicit calculations for affine models are presented.

math.PR↗

arXiv2020

On the parabolic equation for portfolio problems

We consider a semilinear equation linked to the finite horizon consumption - investment problem under the stochastic factor framework and we prove it admits a classical solution and provide all obligatory estimates to successfully apply a verification reasoning. The paper covers the standard time additive utility, as well as the recursive utility framework. We extend existing results by considering more general factor dynamics including a non-trivial diffusion part and a stochastic correlation between assets and factors. In addition, this is the first paper which compromises many other optimization problems in finance, for example those related to the indifference pricing or the quadratic hedging problem. The extension of the result to the stochastic differential utility and robust portfolio optimization is provided as well. The essence of our paper lays in using improved stochastic methods to prove gradient estimates for suitable HJB equations with restricted control space.

math.OC↗

arXiv2020

Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case

We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game problem and use Hamilton-Jacobi-Bellman-Isaacs equations to find an optimal investment strategy and the value function. What is more, we show that our solution is also optimal for the classical Markowitz problem and every optimal solution for the classical Markowitz problem is optimal also for the monotone mean-variance preferences. These results are interesting because the original Markowitz functional is not monotone, and it was observed that in the case of a static one-period optimization problem the solutions for those two functionals are different. In addition, we determine explicit Markowitz strategies in the square root factor models.

q-fin.PM↗

arXiv2020

A note on the worst case approach for a market with a stochastic interest rate

We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by the Hull-White model and the investor employs the HARA utility to measure his satisfaction.To protect against the model uncertainty he uses the worst case measure approach. The problem is formulated as a stochastic game between the investor and the market from the other side. PDE methods are used to find the saddle point and the precise verification argument is provided.

q-fin.MF↗

arXiv2018

Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems

Our goal is to prove existence results for classical solutions to some general nondegenerate Cauchy problems which are natural generalizations of Isaacs equations. For the latter we are able to extend our results by admitting local conditions for coefficients. Such equations appear naturally for instance in robust control theory. Using our general results, we can solve not only Isaacs equations, but also equations for other sophisticated control problems, for instance models with state dependent constraints on the control set.

math.AP↗

arXiv2016

Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications

We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a smooth classical solution to the corresponding HJB equation. Moreover, some verification reasoning are provided and the possible extension to dynamic games is discussed. At the end of the paper consumption - investment problems arising in financial economics are considered.

math.PR↗

arXiv2014

Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case

This is a follow up of our previous paper - Trybuła and Zawisza \cite{TryZaw}, where we considered a modification of a monotone mean-variance functional in continuous time in stochastic factor model. In this article we address the problem of optimizing the mentioned functional in a market with a stochastic interest rate. We formulate it as a stochastic differential game problem and use Hamilton-Jacobi-Bellman-Isaacs equations to derive the optimal investment strategy and the value function.

q-fin.PM↗