Related papers: Controlled options: derivatives with added flexibi…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
In this paper a new framework has been applied to the design of controllers which encompasses nonlinearity, hysteresis and arbitrary density functions of forward models and inverse controllers. Using mixture density networks, the…
Probabilistic control design is founded on the principle that a rational agent attempts to match modelled with an arbitrary desired closed-loop system trajectory density. The framework was originally proposed as a tractable alternative to…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
In this work we present a new family of options (mirror options) specially crafted to satisfy the necessities of aggressive speculators. The main ideas behind mirror options are: 1) A product that can be adjusted by the holder to agree with…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
The distribution of a time integral of geometric Brownian motion is not well understood. To price an Asian option and to obtain measures of its dependence on the parameters of time, strike price, and underlying market price, it is essential…
This paper studies the stabilization for a kind of linear and impulse control systems in finite-dimensional spaces, where impulse instants appear periodically. We present several characterizations on the stabilization; show how to design…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We study a control problem governed by a semilinear parabolic equation. The control is a measure that acts as the kernel of a possibly nonlocal time delay term and the functional includes a non-differentiable term with the measure-norm of…
A solution is given to the basic distributed feedback control problem for a multi-channel linear system assuming only that the system is jointly controllable, jointly observable and has an associated neighbor graph which is strongly…
We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we…
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market…
This paper describes a method for computing price signals for prosumers, incentivizing them to adjust their consumption according to the constraints of the distribution grids to which they are connected, thereby preventing voltage…
Two different controlling methods are proposed to stabilize unstable continuous-sliding states of a dry-friction oscillator. Both methods are based on a delayed-feedback mechanism well-known for stabilizing periodic orbits in deterministic…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…