Related papers: Stochastic impulse control on optimal execution wi…

This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…

We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be…

In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…

Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…

We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…

In this paper, a characterization of the solution of impulse control problems in terms of superharmonic functions is given. In a general Markovian framework, the value function of the impulse control problem is shown to be the minimal…

We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only…

Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…

We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits…

The paper is concerned with a kind of minimal time control problem for the heat equation with impulse controls. The purpose of such a problem is to find an optimal impulse control (among certain control constraint set) steering the solution…

A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…

In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…

This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…

We exhibit optimal control strategies for a simple toy problem in which the underlying dynamics depend on a parameter that is initially unknown and must be learned. We consider a cost function posed over a finite time interval, in contrast…

We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to…

The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy…

We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…