Related papers: Trading under the Proof-of-Stake Protocol -- a Con…

We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…

We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…

This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject capital into the portfolio account such that the total…

In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…

Voting methods weighted by stakes are the fundamental governance paradigm in Proof-of-Stake (PoS) blockchains. Such a paradigm is known to be prone to power distortions: a few users possessing large stakes may completely control decision…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

In the field of energy Internet, blockchain-based distributed energy trading mode is a promising way to replace the traditional centralized trading mode. However, the current power blockchain platform based on public chain has problems such…

Open-access blockchains based on proof-of-work protocols have gained tremendous popularity for their capabilities of providing decentralized tamper-proof ledgers and platforms for data-driven autonomous organization. Nevertheless, the…

This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Brownian motion and a running maximum process, indicating its…

We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…

As of July 15, 2023, Ethererum, which is a Proof-of-Stake (PoS) blockchain [1] has around 410 Billion USD in total assets on chain (popularly referred to as total-value-locked, TVL) but has only 33 Billion USD worth of ETH staked in…

In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…

Blockchain technology is a breakthrough in changing the ways of business and organization operations, in which the consensus problem is challenging with practical constraints, such as computational power and consensus standard. In this…

We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching…

We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…

We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…

We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…

This paper opts to mitigate the energy-inefficiency of the Blockchain Proof-of-Work (PoW) consensus algorithm by rationally repurposing the power spent during the mining process. The original PoW mining scheme is designed to consider one…

We consider the problem of optimally utilizing $N$ resources, each in an unknown binary state. The state of each resource can be inferred from state-dependent noisy measurements. Depending on its state, utilizing a resource results in…