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In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
Optimal control for switch-based dynamical systems is a challenging problem in the process control literature. In this study, we model these systems as hybrid dynamical systems with finite number of unknown switching points and reformulate…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
This paper presents a distributed model predictive control (DMPC) algorithm for heterogeneous vehicle platoons with unidirectional topologies and a priori unknown desired set point. The vehicles (or nodes) in a platoon are dynamically…
This paper studies the stability and dynamic control of underlay mobile edge networks. First, the stability region for a multiuser edge network is obtained under the assumption of full channel state information. This result provides a…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…
Balanced and swap-robust minimal trades, introduced in [1], are important for studying the balance and stability of server access request protocols under data popularity changes. Constructions of such trades have so far relied on paired…
This paper presents a novel robust predictive controller for constrained nonlinear systems that is able to track piece-wise constant setpoint signals. The tracking model predictive controller presented in this paper extends the nonlinear…
Reliable controllers with high flexibility and performance are necessary for the control of intricate, advanced, and expensive systems such as aircraft, marine vessels, automotive vehicles, and satellites. Meanwhile, control allocation has…
We formalise decompression planning as an optimal control problem with gas feasibility windows (ppO$_2$, END), affine ceilings, and convex penalties in normalised oversaturation. The depth trajectory is constrained to be a monotone ascent,…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
We consider an exit-time minimum problem with a running cost, $l\geq 0$ and unbounded controls. The occurrence of points where $l=0$ can be regarded as a transversality loss. Furthermore, since controls range over unbounded sets, the family…
We present a nonlinear model predictive control (MPC) scheme for tracking of dynamic target signals. The scheme combines stabilization and dynamic trajectory planning in one layer, thus ensuring constraint satisfaction irrespective of…
This paper considers the difference of stop-loss payoffs where the underlying is a difference of two random variables. The goal is to study whether the comonotonic and countermonotonic modifications of those two random variables can be used…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
This paper considers the infinite horizon optimal control problem for nonlinear systems. Under the condition of nonlinear controllability of the system to any terminal set containing the origin and forward invariance of the terminal set, we…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived. Recent hype driven by machine learning (ML) mechanisms has raised the…