Related papers: Stochastic Maximum Principle for Optimal Liquidati…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
In this work, we study the stochastic optimal control problem (SOC) mainly from the probabilistic view point, i.e. via the Stochastic Maximum principle (SMP) \cite{Peng4}. We adopt the sample-wise backpropagation scheme proposed in…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial…
In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
This article considers a discrete-time robust optimal control problem on matrix Lie groups. The underlying system is assumed to be perturbed by exogenous unmeasured bounded disturbances, and the control problem is posed as a min-max optimal…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
We consider a control problem for the nonlinear stochastic Fokker--Planck equation. This equation describes the evolution of the distribution of nonlocally interacting particles affected by a common source of noise. The system is directed…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…