Related papers: Optimal Timing to Trade Along a Randomized Brownia…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…
We propose an optimization strategy to control the dynamics of a stochastic system transferred from one thermal equilibrium to another and apply it experimentally to a Brownian particle in an optical trap under compression. Based on a…
In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive L\'evy) model, recent results have shown the…
Schr\"{o}dinger bridge can be viewed as a continuous-time stochastic control problem where the goal is to find an optimally controlled diffusion process whose terminal distribution coincides with a pre-specified target distribution. We…
We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bridge. The result includes the Brownian bridge problem as a…
In this paper, a robust optimal reinsurance-investment problem with delay is studied under the $\alpha$-maxmin mean-variance criterion. The surplus process of an insurance company approximates Brownian motion with drift. The financial…
Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
An important revenue stream for electric battery operators is often arbitraging the hourly price spreads in the day-ahead auction. The optimal approach to this is challenging if risk is a consideration as this requires the estimation of…
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…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the…
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly applicable in situations where the underlying randomness can…
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can…