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The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Utility Maximization Duality Theory Quadratic Semimartingale BSDEs Stability
2011/8/23
Abstract: This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment cons...
Delay-Aware Cross-Layer Design for Network Utility Maximization in Multi-hop Networks
Delay-Aware Cross-Layer Network Utility Maximization Multi-hop Networks
2011/1/19
We investigate the problem of designing delay-aware joint flow control, routing, and scheduling algorithms in general multi-hop networks for maximizing network utilization. Since
the end-to-end delay...
Goodput Maximization in Cooperative Networks with ARQ
Goodput Maximization Cooperative Networks ARQ
2010/12/15
In this paper, the average successful throughput,i.e., goodput, of a coded 3-node cooperative network is studied in a Rayleigh fading environment. It is assumed that a simple automatic repeat request ...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisibl emarket transaction cost continuity of valuefunction quasi-variational inequality
2010/4/27
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...