Related papers: Optimal market making under partial information an…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
Partial monitoring is an expressive framework for sequential decision-making with an abundance of applications, including graph-structured and dueling bandits, dynamic pricing and transductive feedback models. We survey and extend recent…
This survey is organized around three main topics: models, econometrics, and empirical applications. Section 2 presents the theoretical framework, introduces the concept of Markov Perfect Nash Equilibrium, discusses existence and…
Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…
We address the problem of combined stochastic and impulse control for a market maker operating in a limit order book. The problem is formulated as a Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI). We propose an implicit…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by…
We study self-triggered two-player stochastic games on Piecewise Deterministic Markov Processes (PDMPs) where each agent decides when to observe and which open-loop action to hold. Augmenting the state with clocks and committed controls…
When reasoning about the strategic capabilities of an agent, it is important to consider the nature of its adversaries. In the particular context of controller synthesis for quantitative specifications, the usual problem is to devise a…
This paper considers the problem of randomized influence maximization over a Markovian graph process: given a fixed set of nodes whose connectivity graph is evolving as a Markov chain, estimate the probability distribution (over this fixed…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
In this work we are interested in the modelling and control of opinion dynamics spreading on a time evolving network with scale-free asymptotic degree distribution. The mathematical model is formulated as a coupling of an opinion alignment…
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…
The goal of agents in multi-agent environments is to maximize total reward against the opposing agents that are encountered. Following a game-theoretic solution concept, such as Nash equilibrium, may obtain a strong performance in some…
This article introduces a numerical algorithm that serves as a preliminary step toward solving continuous-time model predictive control (MPC) problems directly without explicit time-discretization. The chief ingredients of the underlying…
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…
This paper is concerned with a linear-quadratic partially observed Stackelberg stochastic differential game with correlated state and observation noises, where the diffusion coefficient does not contain the control variable and the control…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also…
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…