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We present a conceptual framework for the dynamic traffic resources allocation problem in a situation of elastic demand among customers. We introduce an activity-based model to express customers' successive actions and transfers in order to…
Users can arbitrage against Time-of-Use (ToU) pricing with storage by charging in off-peak period and discharge in peak periods. In this paper we design the optimal control policy and the solve optimal investment for general ToU scheme. We…
In this study, we analyse the convergence and stability of dynamic system optimal (DSO) traffic assignment with fixed departure times. We first formulate the DSO traffic assignment problem as a strategic game wherein atomic users select…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…
A single queue incorporating a retransmission protocol is investigated, assuming that the sequence of per effort success probabilities in the Automatic Retransmission reQuest (ARQ) chain is a priori defined and no channel state information…
This paper proposes a novel approach to hedging portfolios of risky assets when financial markets are affected by financial turmoils. We introduce a completely novel approach to diversification activity not on the level of single assets but…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…
Effective automation hinges on deciding when to act and when to escalate. We model this as a decision under uncertainty: an LLM forms a prediction, estimates its probability of being correct, and compares the expected costs of acting and…
We study online configuration selection with admission control problem, which arises in LLM serving, GPU scheduling, and revenue management. In a planning horizon with $T$ periods, we consider a two-layer framework for the decisions made…
An agent holds a position in a perpetual contract with payoff function $\psi$ and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rate payments. By solving the agent's stochastic control…
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading prices (i.e., trades only occur if the…
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over…
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first study an auxiliary singular control problem with a final…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
We consider risk averse investors with different levels of anxiety about asset price drawdowns. The latter is defined as the distance of the current price away from its best performance since inception. These drawdowns can increase either…