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We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate cross-impact effects. In addition, we allow for stochastic…
The search for hidden targets is a fundamental problem in many areas of science, engineering, and other fields. Studies of search processes often adopt a probabilistic framework, in which a searcher randomly explores a spatial domain for a…
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…
In this technical note we analyse the performance improvement and optimality properties of the Learning Model Predictive Control (LMPC) strategy for linear deterministic systems. The LMPC framework is a policy iteration scheme where…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…
Explicit solution of an infinite horizon optimal stopping problem for a Levy processes with a polynomial reward function is given, in terms of the overall supremum of the process, when the solution of the problem is one-sided. The results…
It is shown that a certain functional of a branching process has representations in terms of both a maximisation problem and a minimisation problem. A consequence of these representation is that upper and lower bounds on the functional can…
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a…
The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows.…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brownian motion with zero drift driven by some unhedgeable risk.…
We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a…
Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a L\'evy insurance risk process under the Cram\'er-Lundberg and convolution equivalent conditions. For example, the limiting distributions…
The {\alpha}-stable L\'evy process, commonly used to describe L\'evy flight, is characterized by discontinuous jumps and is widely used to model anomalous transport phenomena. In this study, we investigate the associated exit problem and…
We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. The investor prefers a…
We consider controlling the paths of a spectrally negative L\'evy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `bailouts' which keep the value of the process above zero. We…