Related papers: Optimizing Execution Cost Using Stochastic Control
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
This paper develops a unified explicit solution theory for optimal execution through sequential limit-order placement in a limit order book. Rather than controlling only the trading speed of a metaorder, we determine how individual limit…
We consider the problem of computing the set of initial states of a dynamical system such that there exists a control strategy to ensure that the trajectories satisfy a temporal logic specification with probability 1 (almost-surely). We…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We present the observation that the process of stochastic model predictive control can be formulated in the framework of iterated function systems. The latter has a rich ergodic theory that can be applied to study the system's long-run…
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, $x(t)$, depends on the stochasticity of the return on…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy. We impose maximum and minimum constraints…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
In this paper, we propose control-theoretic methods as tools for the design of online optimization algorithms that are able to address dynamic, noisy, and partially uncertain time-varying quadratic objective functions. Our approach…
Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are…
Automated synthesis of correct-by-construction controllers for autonomous systems is crucial for their deployment in safety-critical scenarios. Such autonomous systems are naturally modeled as stochastic dynamical models. The general…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…