Related papers: Centralized systemic risk control in the interbank…

For optimal power flow problems with chance constraints, a particularly effective method is based on a fixed point iteration applied to a sequence of deterministic power flow problems. However, a priori, the convergence of such an approach…

Let a control system and a target be given on an open subset of an Euclidean space. The existence of a Control Lyapunov Function - namely a positive definite, semiconcave, solution of the Hamilton-Jacobi inequality corresponding to the…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…

This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network.…

We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…

This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii)…

There is tremendous potential in using neural networks to optimize numerical methods. In this paper, we introduce and analyse a framework for the neural optimization of discrete weak formulations, suitable for finite element methods. The…

In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…

The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…

In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…

A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…

This paper considers a risk-constrained infinite-horizon optimal control problem and proposes to solve it in an iterative manner. Each iteration of the algorithm generates a trajectory from the starting point to the target equilibrium state…

This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…

We consider stochastic model predictive control of a multi-agent systems with constraints on the probabilities of inter-agent collisions. We first study a sample-based approximation of the collision probabilities and use this approximation…

In this paper we consider the problem of the optimal control of an ensemble of affine-control systems. After proving the well-posedness of the minimization problem under examination, we establish a $\Gamma$-convergence result that allows us…

The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of…

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…

The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…

In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…