Related papers: Optimal Trading with Linear and (small) Non-Linear…
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…
We consider team optimal control of decentralized systems with linear dynamics, quadratic costs, and arbitrary disturbance that consist of multiple sub-populations with exchangeable agents (i.e., exchanging two agents within the same…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
We present a local minimax lower bound on the excess cost of designing a linear-quadratic controller from offline data. The bound is valid for any offline exploration policy that consists of a stabilizing controller and an energy bounded…
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Kallsen and Muhle-Karbe [Ann. Appl.…
An asymptotic expansion at spatial infinity of a weak time-periodic solution to the Navier-Stokes equations with a non-zero drift term in the three-dimensional whole-space is carried out. The asymptotic profile is explicitly identified and…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…
This contribution presents an asymptotic formulation for the stick-slip behaviour of incomplete contacts under oscillatory variation of normal load, moment, shear load and differential bulk tension. The asymptotic description allows us not…
We consider a quasi two-dimensional network connection growth model that minimizes the wiring cost while maximizing the network connections, but at the same time edge crossings are penalized or forbidden. This model is mapped to a dilute…
A semilinear reaction-diffusion two-point boundary value problem, whose second-order derivative is multiplied by a small positive parameter $\eps^2$, is considered. It can have multiple solutions. An asymptotic expansion is constructed for…
Time Optimal Path Parametrization is the problem of minimizing the time interval during which an actuation constrained agent can traverse a given path. Recently, an efficient linear-time algorithm for solving this problem was proposed.…
This paper considers the infinite horizon optimal control problem for nonlinear systems. Under the condition of nonlinear controllability of the system to any terminal set containing the origin and forward invariance of the terminal set, we…
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
We introduce modes of instantaneous optimal growth of free energy for the fully electromagnetic gyrokinetic equations. We demonstrate how these "optimal modes" arise naturally from the free energy balance equation, allowing its convenient…
We introduce a new technique to optimize a linear cost function subject to a one-dimensional affine homogeneous quadratic integral inequality, i.e., the requirement that a homogeneous quadratic integral functional, affine in the…
We investigate the average minimum cost of a bipartite matching, with respect to the squared Euclidean distance, between two samples of n i.i.d. random points on a bounded Lipschitz domain in the Euclidean plane, whose common law is…