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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…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…
Closed-loop attitude steering can be used to implement a non-standard attitude maneuver by using a conventional attitude control system to track a non-standard attitude profile. The idea has been employed to perform zero-propellant…
Formation control problems can be expressed as linear quadratic discrete-time games (LQDTG) for which Nash equilibrium solutions are sought. However, solving such problems requires solving coupled Riccati equations, which cannot be done in…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
This article considers the stochastic optimal control of discrete-time linear systems subject to (possibly) unbounded stochastic disturbances, hard constraints on the manipulated variables, and joint chance constraints on the states. A…
This article studies the control ideas of the optimal backstepping technique, proposing an event-triggered optimal tracking control scheme for a class of strict-feedback nonlinear systems with non-affine and nonlinear faults. A simplified…
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow…
This work proposed an efficient learning-based framework to learn feedback control policies from human teleoperated demonstrations, which achieved obstacle negotiation, staircase traversal, slipping control and parcel delivery for a tracked…
The maximization of reach-avoid probabilities for stochastic systems is a central topic in the control literature. Yet, the available methods are either restricted to low-dimensional systems or suffer from conservative approximations. To…
This article presents a dynamic regret analysis for stochastic model predictive control (SMPC) in linear systems with quadratic performance index and additive and multiplicative uncertainties. Under a finite support assumption, the problem…
There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly multimodal invariant probability distribution of a Langevin…
This paper concerns the risk-aware control of stochastic systems with temporal logic specifications dynamically assigned during runtime. Conventional risk-aware control typically assumes that all specifications are predefined and remain…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
This work studies online episodic tabular Markov decision processes (MDPs) with known transitions and develops best-of-both-worlds algorithms that achieve refined data-dependent regret bounds in the adversarial regime and variance-dependent…
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate the classical Merton's portfolio optimization problem in a…