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We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
Decentralized finance (DeFi) borrowing and lending platforms are crucial to the decentralized economy, involving two main participants: lenders who provide assets for interest and borrowers who offer collateral exceeding their debt and pay…
Robust Model Predictive Control (MPC) for nonlinear systems is a problem that poses significant challenges as highlighted by the diversity of approaches proposed in the last decades. Often compromises with respect to computational load,…
This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a general Borel space and with compact action space depending on the state variable. The control…
In this paper, we present a data-driven distributed model predictive control (MPC) scheme to stabilise the origin of dynamically coupled discrete-time linear systems subject to decoupled input constraints. The local optimisation problems…
This work is associated with the use of parallel feedforward compensators (PFCs) for the problem of output synchronization over heterogeneous agents and the benefits this approach can provide. Specifically, it addresses the addition of…
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the…
To provide robustness of distributed model predictive control (DMPC), this work proposes a robust DMPC formulation for discrete-time linear systems subject to unknown-but-bounded disturbances. Taking advantage of the structure of certain…
This paper considers the leader-follower control problem for a linear multi-agent system with directed communication topology and linear nonidentical uncertain coupling subject to integral quadratic constraints (IQCs). A consensus-type…
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio…
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary problem is a variational inequality system of three functions…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
In this paper, we study the local exact boundary controllability of entropy solutions to a class linearly degenerate hyperbolic systems of conservation laws with constant multiplicity. The authors prove the two-sided boundary…
In this paper, we will investigate the moment exponential stabilization of highly nonlinear hybrid stochastic differential delay equations. A periodically intermittent controller based on discrete time state observations with asynchronous…
Risk forecasts drive trading constraints and capital allocation, yet losses are nonstationary and regime-dependent. This paper studies sequential one-sided VaR control via conformal calibration. I propose regime-weighted conformal risk…
In this paper, we present a stabilizing Nonlinear Model Predictive Control (NMPC) scheme tailored for a class of nonholonomic systems with drift, where the acceleration is laterally restrained. Examples include a mobile robot with drifting…
In this article we prove semiglobal stabilization and exact controllability results for nonlinear plate equations with hinged boundary conditions and analytic nonlinearity. These results hold when the damping or control is localized in a…
We propose model predictive funnel control, a novel model predictive control (MPC) scheme building upon recent results in funnel control. The latter is a high-gain feedback methodology that achieves evolution of the measured output within…