Related papers: A Full Balance Sheet Two-modes Optimal Switching p…

We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…

This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…

This paper investigates the end-to-end throughput maximization problem for a two-hop multiple-relay network, with relays powered by simultaneous wireless information and power transfer (SWIPT) technique. Nonlinearity of energy harvester at…

Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the "error maximization"…

Optimal control of switched systems is challenging due to the discrete nature of the switching control input. The embedding-based approach addresses this challenge by solving a corresponding relaxed optimal control problem with only…

In an earlier paper (https://doi.org/10.1137/21M1393315), the Switch Point Algorithm was developed for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…

In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…

Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…

We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…

In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…

We consider the optimization of a dynamical system by switching at discrete time points between abstract evolution equations composed by nonlinearly perturbed strongly continuous semigroups, nonlinear state reset maps at mode transition…

We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…

We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…

We study the optimal solution to a general two-slope ski rental problem with a tail risk, i.e., the chance of the competitive ratio exceeding a value $\gamma$ is bounded by $\delta$. This extends the recent study of tail bounds for ski…

This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading…

This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process with stochastic volatility, and the optimal pair trading rule…

Optimal balance is a non-asymptotic numerical method to compute a point on the slow manifold for certain two-scale dynamical systems. It works by solving a modified version of the system as a boundary value problem in time, where the…