Related papers: Dynamic Collateral Control for Permissionless Spot…
In decentralized non-custodial micropayments, the central challenge is not whether payments can be executed directly, but under what conditions such systems can offer credit limits without requiring full collateral backing. Existing…
In this paper it is established that any jointly controllable, jointly observable, multi-channel, discrete or continuous time linear system with a strongly connected neighbor (communication) graph can be exponentially stabilized with any…
We consider an input-constrained differential-drive robot with actuator dynamics. For this system, we establish asymptotic stability of the origin on arbitrary compact, convex sets using Model Predictive Control (MPC) without stabilizing…
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 develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework. By including a price mean-reversion signal into the optimization program, in a trading environment where market impact is linear and stage costs are…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…
Stablecoins promise par convertibility, yet issuers must balance immediate liquidity against yield on reserves to keep the peg credible. We study this treasury problem as a continuous-time control task with two instruments: reallocating…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…
Model Predictive Control (MPC) is a widely known control method that has proved to be particularly effective in multivariable and constrained control. Closed-loop stability and recursive feasibility can be guaranteed by employing accurate…
The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy…
For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…
This paper introduces a continuous-time constrained nonlinear control scheme which implements a model predictive control strategy as a continuous-time dynamic system. The approach is based on the idea that the solution of the optimal…
We formulate and solve stochastic control problems that model the core yield-generating strategy of the Ethena protocol, a decentralized finance (DeFi) stablecoin that earns yield by combining a long position in staked Ethereum (stETH) with…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
An optimal control problem for longitudinal motions of a thin elastic rod is considered. We suppose that a normal force, which changes piecewise constantly along the rod's length, is applied to the cross-section so that the positions of…
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at…
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…