Related papers: Optimal market making under partial information wi…
Motivated by wide-ranging applications such as video delivery over networks using Multiple Description Codes, congestion control, and inventory management, we study the state-tracking of a Markovian random process with a known transition…
This paper investigates MDPs with intermittent state information. We consider a scenario where the controller perceives the state information of the process via an unreliable communication channel. The transmissions of state information…
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We study infinite-horizon stochastic optimal control problems with observable side information: a Markov chain that modulates an unknown context-conditional randomness distribution. Since this distribution is unknown, we propose a Bayesian…
In this paper we study an incomplete information optimal switching problem in which the manager only has access to noisy observations of the underlying Brownian motion $\{W_t\}_{t \geq 0}$. The manager can, at a fixed cost, switch between…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price…
Bounded agents are limited by intrinsic constraints on their ability to process information that is available in their sensors and memory and choose actions and memory updates. In this dissertation, we model these constraints as…
Motivated by the Internet-of-things and sensor networks for cyberphysical systems, the problem of dynamic sensor activation for the tracking of a time-varying process is examined. The tradeoff is between energy efficiency, which decreases…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…
While information theory has been introduced to characterize the fundamental limitations of control and filtering for a few decades, the existing information-theoretic methods are indirect and cumbersome for analyzing the limitations of…
In this study, we adopt age of information as a measure of the staleness of information, and take initial steps towards analyzing the control performance of stochastic systems with stale information. Our goals are to cast light on a…
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…
We consider an energy storage problem involving a wind farm with a forecasted power output, a stochastic load, an energy storage device, and a connection to the larger power grid with stochastic prices. Electricity prices and wind power…
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a…
We study the optimal design of stealthy attacks against partially observed linear control systems. We first propose a novel likelihood-based detection mechanism derived from the innovation process, based on which we quantify stealthiness…