Related papers: Optimal inflow control penalizing undersupply in t…
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…
Classical deterministic optimal control problems assume full information about the controlled process. The theory of control for general partially-observable processes is powerful, but the methods are computationally expensive and typically…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
We study stochastic dynamical systems in settings where only partial statistical information about the noise is available, e.g., in the form of a limited number of noise realizations. Such systems are particularly challenging to analyze and…
We consider a class of optimal control problems for measure-valued nonlinear transport equations describing traffic flow problems on networks. The objective isto minimise/maximise macroscopic quantities, such as traffic volume or average…
Designing and optimizing different flows in networks is a relevant problem in many contexts. While a number of methods have been proposed in the physics and optimal transport literature for the one-commodity case, we lack similar results…
We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…
We propose a model uncertainty approach to heavy traffic asymptotics that allows for a high level of uncertainty. That is, the uncertainty classes of underlying distributions accommodate disturbances that are of order 1 at the usual…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…
In this paper, we analyze the use of the Ornstein-Uhlenbeck process to model dynamical systems subjected to bounded noisy perturbations. In order to discuss the main characteristics of this new approach we consider some basic models in…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…
This paper concerns the study of optimal (supremum and infimum) uncertainty bounds for systems where the input (or prior) probability measure is only partially/imperfectly known (e.g., with only statistical moments and/or on a coarse…
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance…
The problem of multi-area interchange scheduling under system uncertainty is considered. A new scheduling technique is proposed for a multi-proxy bus system based on stochastic optimization that captures uncertainty in renewable generation…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
Tight estimates of exit/containment probabilities are of particular importance in many control problems. Yet, estimating the exit/containment probabilities is non-trivial: even for linear systems (Ornstein-Uhlenbeck processes), the…