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Restricted normal cones and sparsity optimization with affine constraints
Compressed sensing constraint qualification Friedrichs angle linear convergence
2012/5/24
The problem of finding a vector with the fewest nonzero elements that satisfies an underdetermined system of linear equations is an NP-complete problem that is typically solved numerically via convex ...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes Poissonpoint processes Levy processes HJBPDE policy mprovement
2010/4/27
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, N...