Related papers: A stochastic control perspective on term structure…

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…

The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…

Stochastic optimal control of dynamical systems is a crucial challenge in sequential decision-making. Recently, control-as-inference approaches have had considerable success, providing a viable risk-sensitive framework to address the…

We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…

This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…

In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…

This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…

In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brwonian motion…

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic…

This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…

Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…

Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…

The risk premium is one of main concepts in mathematical finance. It is a measure of the trade-offs investors make between return and risk and is defined by the excess return relative to the risk-free interest rate that is earned from an…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based on further estimation of skewness and kurtosis, when…

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…