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Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…
This work presents the design and the corresponding stability analysis of desired model based, joint position constrained, robot controller. Specifically, provided that the initial joint position tracking error signal starts below some…
The present paper represents a continuation of our previous one. There, a continuous dependence result for the solution of an elliptic variational-hemivariational inequality was obtained and then used to prove the existence of optimal pairs…
We study an OTC FX market-making problem, built on the Avellaneda-Stoikov tradition, in which a dealer streams size-dependent quotes on a discrete ladder and manages inventory risk over a finite horizon under Poisson arrivals of trade…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require handling a double optimization problem…
We present a decentralized minimum-time trajectory optimization scheme based on learning model predictive control for multi-agent systems with nonlinear decoupled dynamics and coupled state constraints. By performing the same task…
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other statistical arbitrage strategies, in terms of excursions of a…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
The `Black Thursday' crisis in cryptocurrency markets demonstrated deleveraging risks in over-collateralized non-custodial stablecoins. We develop a stochastic model that helps explain deleveraging crises in these over-collateralized…
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
Persistent financial frictions - including price volatility, constrained credit access, and supply chain inefficiencies - have long hindered productivity and welfare in the global agricultural sector. This paper provides a theoretical and…
We consider sampled-data Model Predictive Control (MPC) of nonlinear continuous-time control systems. We derive sufficient conditions to guarantee recursive feasibility and asymptotic stability without stabilising costs and/or constraints.…
Decentralized exchanges (DEXs) are crucial to decentralized finance (DeFi) as they enable trading without intermediaries. However, they face challenges like impermanent loss (IL), where liquidity providers (LPs) see their assets' value…
In this paper, we develop a distributionally robust optimal control approach for differentially private dynamical systems, enabling a plant to securely outsource control computation to an untrusted remote server. We consider a plant that…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…