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Blockchain technology enables the execution of collaborative business processes involving untrusted parties without requiring a central authority. Specifically, a process model comprising tasks performed by multiple parties can be…
Decentralized systems built around blockchain technology promise clients an immutable ledger. They add a transaction to the ledger after it undergoes consensus among the replicas that run a Proof-of-Stake (PoS) or Byzantine Fault-Tolerant…
This paper proposes a new paradigm: generative blockchain, which aims to transform conventional blockchain technology by combining transaction generation and recording, rather than focusing solely on transaction recording. Central to our…
We argue that the current POW based consensus algorithm of the Bitcoin network suffers from a fundamental economic discrepancy between the real world transaction (txn) costs incurred by miners and the wealth that is being transacted. Put…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price…
While Proof-of-Work (PoW) is the most widely used consensus mechanism for blockchain, it received harsh criticism due to its massive waste of energy for meaningless hash calculation. Some studies have introduced Proof-of-Stake to address…
Blockchains have witnessed widespread adoption in the past decade in various fields. The growing demand makes their scalability and sustainability challenges more evident than ever. As a result, more and more blockchains have begun to adopt…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
An important feature of Proof-of-Work (PoW) blockchains is full dynamic availability, allowing miners to go online and offline while requiring only 50% of the online miners to be honest. Existing Proof-of-stake (PoS), Proof-of-Space and…
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal…
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…
In many safety-critical control systems, possibly opposing safety restrictions and control performance objectives arise. To confront such a conflict, this letter proposes a novel methodology that embeds safety into stability of control…
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled…
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
Many processes, such as discrete event systems in engineering or population dynamics in biology, evolve in discrete space and continuous time. We consider the problem of optimal decision making in such discrete state and action space…