Related papers: Centralized systemic risk control in the interbank…
This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
In the freeway network control (FNC) problem, the operation of a traffic network is optimized using only flow control. For special cases of the FNC problem, in particular the case when all merging flows are controlled, there exist tight…
Mixed optimal stopping and stochastic control problems define variational inequalities with non-linear Hamilton-Jacobi-Bellman (HJB) operators, whose numerical solution is notoriously difficult and lack of reliable benchmarks. We first use…
Optimal control of switched systems is challenging due to the discrete nature of the switching control input. The embedding-based approach addresses this challenge by solving a corresponding relaxed optimal control problem with only…
This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in mean-variance portfolio selection problem for an investor who receives a stochastic cash flow which he/she must then invest in a…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
This paper introduces and analyzes a new class of mean-field control (\textsc{MFC}) problems in which agents interact through a \emph{fixed but controllable} network structure. In contrast with the classical \textsc{MFC} framework -- where…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
We analyze some systems of partial differential equations arising in the theory of mean field type control with congestion effects. We look for weak solutions. Our main result is the existence and uniqueness of suitably defined weak…
In this paper, we propose a minimax linear-quadratic control method to address the issue of inaccurate distribution information in practical stochastic systems. To construct a control policy that is robust against errors in an empirical…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system. Zakai equation…
Controlling the stochastic dynamics of biological populations is a challenge that arises across various biological contexts. However, these dynamics are inherently nonlinear and involve a discrete state space, i.e., the number of molecules,…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…