Related papers: Unwinding Toxic Flow with Partial Information
For online resource allocation problems, we propose a new demand arrival model where the sequence of arrivals contains both an adversarial component and a stochastic one. Our model requires no demand forecasting; however, due to the…
Managing stock efficiently remains a core issue in modern logistics, where companies must reconcile cost efficiency with dependable service despite unpredictable market conditions. Conventional models often overlook the direct connection…
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the…
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at…
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that the agent is allowed to purchase costly expert opinions of…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…
An information based method for solving stochastic control problems with partial observation has been proposed. First, the information-theoretic lower bounds of the cost function has been analysed. It has been shown, under rather weak…
This paper presents a novel methodology to tackle feedback optimal control problems in scenarios where the exact state of the controlled process is unknown. It integrates data assimilation techniques and optimal control solvers to manage…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production. Assuming that the output of production is proportional to…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
In this study, we adopt age of information as a measure of the staleness of information, and take initial steps towards analyzing the control performance of stochastic systems with stale information. Our goals are to cast light on a…
In this review/tutorial article, we present recent progress on optimal control of partially observed Markov Decision Processes (POMDPs). We first present regularity and continuity conditions for POMDPs and their belief-MDP reductions, where…
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
This paper develops a framework to predict toxic trades that a broker receives from her clients. Toxic trades are predicted with a novel online learning Bayesian method which we call the projection-based unification of last-layer and…