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The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
Blockchain and distributed ledger technologies rely on distributed consensus algorithms. In recent years many consensus algorithms and protocols have been proposed; most of them are for permissioned blockchain networks. However, the…
Sample-based trajectory optimisers are a promising tool for the control of robotics with non-differentiable dynamics and cost functions. Contemporary approaches derive from a restricted subclass of stochastic optimal control where the…
The `Black Thursday' crisis in cryptocurrency markets demonstrated deleveraging risks in over-collateralized non-custodial stablecoins. We develop a stochastic model that helps explain deleveraging crises in these over-collateralized…
We propose the formal study of governed blockchains that are owned and controlled by organizations and that neither create cryptocurrencies nor provide any incentives to solvers of cryptographic puzzles. We view such approaches as…
Consensus protocols used today in blockchains often rely on computational power or financial stakes - scarce resources. We propose a novel protocol using social capital - trust and influence from social interactions - as a non-transferable…
Bitcoin is the world's first decentralized digital currency. Its main technical innovation is the use of a blockchain and hash-based proof of work to synchronize transactions and prevent double-spending the currency. While the qualitative…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
Permissionless blockchain consensus protocols have been designed primarily for defining decentralized economies for the commercial trade of assets, both virtual and physical, using cryptocurrencies. In most instances, the assets being…
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little…
Dynamic Population Games (DPGs) provide a tractable framework for modeling strategic interactions in large populations of self-interested agents, and have been successfully applied to the design of Karma economies, a class of fair…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
Models of many real-life applications, such as queuing models of communication networks or computing systems, have a countably infinite state-space. Algorithmic and learning procedures that have been developed to produce optimal policies…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
The optimal power flow problem plays an important role in the market clearing and operation of electric power systems. However, with increasing uncertainty from renewable energy operation, the optimal operating point of the system changes…
We analyze Bitcoin mining from the perspective of a game and propose an optimal mining model that maximizes profits of pools and miners. The model is a two-stage Stackelberg game in which each stage forms a sub-game. In stage I, pools are…
With the simultaneous rise of energy costs and demand for cloud computing, efficient control of data centers becomes crucial. In the data center control problem, one needs to plan at every time step how many servers to switch on or off in…
In this paper will be presented methodology of encoding information in valuations of discrete lattice with some translational invariant constrains in asymptotically optimal way. The method is based on finding statistical description of such…