Related papers: Storage option an Analytic approach

We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…

Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…

This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…

We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…

In this paper, we derive a temporal arbitrage policy for storage via reinforcement learning. Real-time price arbitrage is an important source of revenue for storage units, but designing good strategies have proven to be difficult because of…

Many decision-making processes involve solving a combinatorial optimization problem with uncertain input that can be estimated from historic data. Recently, problems in this class have been successfully addressed via end-to-end learning…

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…

We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…

We study how storage, operating as a price maker within a market environment, may be optimally operated over an extended period of time. The optimality criterion may be the maximisation of the profit of the storage itself, where this profit…

We study a stochastic optimal control problem motivated by the operation of a large ensemble of residential storage devices coordinated by an energy aggregator. The aggregator remunerates prosumers in exchange for direct control of their…

In this article, we consider the problem of unconstrained time-varying convex optimization, where the cost function changes with time. We provide an in-depth technical analysis of the problem and argue why freezing the cost at each time…

This is a follow up of our previous paper - Trybu{\l}a 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…

The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…

We consider a stochastic variant of the packing-type integer linear programming problem, which contains random variables in the objective vector. We are allowed to reveal each entry of the objective vector by conducting a query, and the…

We propose a variational method to solve all three estimation problems for nonlinear stochastic dynamical systems: prediction, filtering, and smoothing. Our new approach is based upon a proper choice of cost function, termed the {\it…

We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial…

We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…