Related papers: Optimum Liquidation Problem Associated with the Po…

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…

We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…

This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…

In this paper, we study a continuous-time discounted jump Markov decision process with both controlled actions and observations. The observation is only available for a discrete set of time instances. At each time of observation, one has to…

This paper studies the optimal clearing problem for prosumers in peer-to-peer (P2P) energy markets. It is proved that if no trade weights are enforced and the communication structure between successfully traded peers is connected, then the…

This paper studies convergence properties of optimal values and actions for discounted and average-cost Markov Decision Processes (MDPs) with weakly continuous transition probabilities and applies these properties to the stochastic…

We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an…

We consider a Markov process in continuous time with a finite number of discrete states. The time-dependent probabilities of being in any state of the Markov chain are governed by a set of ordinary differential equations, whose dimension…

We consider a novel queuing problem where the decision-maker must choose to accept or reject randomly arriving tasks into a no buffer queue which are processed by $N$ identical servers. Each task has a price, which is a positive real…

We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…

This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…

We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…

In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…

This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…

We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…

In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we study the convergence of three BSDEs characterizing the value…

In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developed by Fukasawa [In Stochastic Analysis with Financial Applications (2011) 331-346 Birkh\"{a}user/Springer Basel AG] for…

We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that the agent is allowed to purchase costly expert opinions of…

Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…

This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…