Related papers: Bond Market Making with a Hit-Ratio Target

This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical…

We develop a robust linear-quadratic mean-field control framework for systemic risk under model uncertainty, in which a central bank jointly optimizes interest rate policy and supervisory monitoring intensity against adversarial…

The State-Dependent Riccati Equation (SDRE) approach is extensively utilized in nonlinear optimal control as a reliable framework for designing robust feedback control strategies. This work provides an analysis of the SDRE approach,…

In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear…

In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem.…

We propose a novel numerical method for high dimensional Hamilton--Jacobi--Bellman (HJB) type elliptic partial differential equations (PDEs). The HJB PDEs, reformulated as optimal control problems, are tackled by the actor-critic framework…

We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve in a path-dependent way, but the presence of a finite…

We study policy iteration (PI) for deterministic infinite-horizon discounted optimal control problems, whose value function is characterized by a stationary Hamilton--Jacobi--Bellman (HJB) equation. At the PDE level, PI is fundamentally…

An off policy reinforcement learning based control strategy is developed for the optimal tracking control problem to achieve the prescribed performance of full states during the learning process. The optimal tracking control problem is…

We give a detailed characterization of optimal trades under budget constraints in a prediction market with a cost-function-based automated market maker. We study how the budget constraints of individual traders affect their ability to…

We consider a mean-field control problem with c\`adl\`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We show that the value function depends on the state…

In this paper, we present a mean field game to model the production behaviors of a very large number of producers, whose carbon emissions are regulated by government. Especially, an emission permits trading scheme is considered in our…

We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with different maturities are described by the general HJM…

In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…

We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…

We introduce a novel signature approach for pricing and hedging path-dependent options with instantaneous and permanent market impact under a mean-quadratic variation criterion. Leveraging the expressive power of signatures, we recast an…

In this article, two methods for solving mean-field type optimal control problems are proposed and investigated. The two methods are iterative methods: at each iteration, a Hamilton-Jacobi-Bellman equation is solved, for a terminal…

To address the issue of inaccurate distributions in practical stochastic systems, a minimax linear-quadratic control method is proposed using the Wasserstein metric. Our method aims to construct a control policy that is robust against…

We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…