Related papers: Optimal placement of a small order in a diffusive …
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper we show that when lead times are large, a very simple…
In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic allocation task whose objective is the optimal placement of market…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB)…
In this work, we consider a continuous-time inventory system where the demand process follows an inventory-dependent diffusion process. The ordering cost of each order depends on the order quantity and is given by a general function, which…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
The choice of the location of controllers and observations is of great importance for designing control systems and improving the estimations in various practical problems. For time-varying systems in Hilbert spaces, the existence and…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
We study the inventory placement problem of splitting $Q$ units of a single item across warehouses in advance of a downstream online matching problem that represents the dynamic fulfillment decisions of an e-commerce retailer. This is a…
We consider a network inventory system motivated by one-way, on-demand vehicle sharing services. Under uncertain and correlated network demand, the service operator periodically repositions vehicles to match a fixed supply with spatial…
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent is trading on a market with two financial assets, whose…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
We build an optimal portfolio liquidation model for OTC markets, aiming at minimizing the trading costs via the choice of the liquidation time. We work in the Locally Linear Order Book framework of \cite{toth2011anomalous} to obtain the…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expected return. Solutions to the associated variational…
In this paper, an attempt has been made to develop a simple leakage inventory model without shortages with instantaneous or finite production rate under fuzzy environment. In the present day scenario, it is difficult to decide the exact…
We study a version of the classical Cayley-Moser optimal stopping problem, in which a seller must sell an asset by a given deadline, with the offers, which are independent random variables with a known distribution, arriving at random…