Related papers: Stochastic impulse control on optimal execution wi…

In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…

In the present paper we deal with an optimal control problem related to a model in population dynamics; more precisely, the goal is to modify the behavior of a given density of individuals via another population of agents interacting with…

In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…

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…

We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark…

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…

In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for a first-order differential equation,…

This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…

We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying branching process to reach a target set at a finite…

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…

In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…

Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interventions via fiscal policies affect the public debt and the…

We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…