Related papers: Trading constraints in continuous-time Kyle models
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We introduce and study a mathematical model of an art collector. In our model, the collector is a rational agent whose actions in the art market are driven by two competing long-term objectives, namely sustainable financial health and…
In this paper, we investigate system theoretic properties of transient average constrained economic model predictive control (MPC) without terminal constraints. We show that the optimal open-loop solution passes by the optimal steady-state…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the…
It is shown that the structure of general equilibrium incomplete market models is intrinsically self-consistent and time-interlaced, with mean field interactions that are only implicit and also endogenous. Novel mathematical tools that can…
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…
Many chemical processes exhibit diverse timescale dynamics with a strong coupling between timescale sensitive variables. Model predictive control with a non-uniformly spaced optimisation horizon is an effective approach to multi-timescale…
We study a single-period optimal transport problem on $\mathbb{R}^2$ with a covariance-type cost function $c(x,y) = (x_1-y_1)(x_2-y_2)$ and a backward martingale constraint. We show that a transport plan $\gamma$ is optimal if and only if…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…