Related papers: Zero-Knowledge Optimal Monetary Policy under Stoch…

Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We seek to provide a sound foundation for stablecoin theory, with…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…

In this paper we propose a new methodology for decision-making under uncertainty using recent advancements in the areas of nonlinear stochastic optimal control theory, applied mathematics, and machine learning. Grounded on the fundamental…

The democratization of artificial intelligence through decentralized networks represents a paradigm shift in computational provisioning, yet the long-term viability of these ecosystems is critically endangered by the extreme volatility of…

We model incentive security in non-custodial stablecoins and derive conditions for participation in a stablecoin system across risk absorbers (vaults/CDPs) and holders of governance tokens. We apply option pricing theory to derive closed…

This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…

Stablecoins - crypto tokens whose value is pegged to a real-world asset such as the US Dollar - are an important component of the DeFi ecosystem as they mitigate the impact of token price volatility. In crypto-backed stablecoins, the peg is…

Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…

There are a multitude of Blockchain-based physical infrastructure systems, operating on a crypto-currency enabled token economy, where infrastructure suppliers are rewarded with tokens for enabling, validating, managing and/or securing the…

We study the effect of stochasticity in on-policy policy optimization, and make the following four contributions. First, we show that the preferability of optimization methods depends critically on whether stochastic versus exact gradients…

The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it…

Bitcoin brings a new type of digital currency that does not rely on a central system to maintain transactions. By benefiting from the concept of decentralized ledger, users who do not know or trust each other can still conduct transactions…

Bitcoin and other similar digital currencies on blockchains are not ideal means for payment, because their prices tend to go up in the long term (thus people are incentivized to hoard those currencies), and to fluctuate widely in the short…

Cryptographic tokens are a new digital paradigm that can facilitate the establishment of economic incentives in digital ecoystems. Tokens can be leveraged for the coordination, optimization and governance of large networks at scale in a…

Policy iteration is one of the classical frameworks of reinforcement learning, which requires a known initial stabilizing control. However, finding the initial stabilizing control depends on the known system model. To relax this requirement…

Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the…

This study investigates three central questions in portfolio optimization. First, whether time-varying moment estimators outperform conventional sample estimators in practical portfolio construction. Second, whether incorporating a turnover…

Blockchain based cryptocurrencies are usually unmanaged, distributed, consensus-based systems in which no single entity has control. Managed cryptocurrencies can be implemented using private blockchains but are fundamentally different as…

A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…