Related papers: Optimal bailout strategies resulting from the drif…

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…

We consider the classical multi-armed bandit problem, but with strategic arms. In this context, each arm is characterized by a bounded support reward distribution and strategically aims to maximize its own utility by potentially retaining a…

We propose a new numerical method for the computation of the optimal value function of perturbed control systems and associated globally stabilizing optimal feedback controllers. The method is based on a set oriented discretization of state…

Bertrand et al. introduced a model of parameterised systems, where each agent is represented by a finite state system, and studied the following control problem: for any number of agents, does there exist a controller able to bring all…

In this paper, a backstepping control of the one-phase Stefan Problem, which is a 1-D diffusion Partial Differential Equation (PDE) defined on a time varying spatial domain described by an ordinary differential equation (ODE), is studied. A…

We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…

We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and…

We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…

In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…

We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Principal-Agent problem adapted to this framework. We address the…

We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We…

The design of optimal disturbance accommodation and servomechanism controllers with limited plant model information is considered in this paper. Their closed-loop performance are compared using a performance metric called competitive ratio…

This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…

We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…

This paper proposes and studies an optimal dividend problem in which a two-state regime-switching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the…

This paper concerns rollout and certainty-equivalent rollout policies for stochastic shortest path problems with absorbing terminal states. The main result provides a direct non-asymptotic performance certificate for a fixed rollout policy:…

Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in…

Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In 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…

We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize their dividend stream minus the cost of injecting capital, if…