Adaptive Erlangization is a flexible observation/intervention strategy for system management
based on randomized observation frequencies. The main contributions of this paper are the …

Featured Application The importance of generative adversarial networks (GANs) in
economics is growing and is driven by successes in other fields. Many economic problems …

In this paper, we present a duality theory for the robust utility maximisation problem in
continuous time for utility functions defined on the positive real line. Our results are inspired …

We introduce a general framework for Markov decision problems under model uncertainty in
a discrete‐time infinite horizon setting. By providing a dynamic programming principle, we …

Management of river environment requires to assess streamflows and water quality
dynamics, which are often stochastic as well as not easy to model without errors. A new …

This paper studies a variation of the continuous-time mean-variance portfolio selection
where a tracking-error penalization is added to the mean-variance criterion. The tracking …

This paper studies a portfolio allocation problem, where the goal is to reach a prescribed
wealth distribution at a final time. We study this problem with the tools of optimal mass …

This paper contributes to the economics of AI by exploring three topics neglected by
economists:(i) the notion of a Singularity (and Singleton),(ii) the existential risks that AI may …

We investigate the adaptive robust control framework for portfolio optimization and loss-
based hedging under drift and volatility uncertainty. Adaptive robust problems offer many …

This paper provides a closed-form market equilibrium formula consolidating informational
imperfections and investors' beliefs about assets. Based on Merton's incomplete information …