Related papers: Explicit Signal-Adaptive Sequential Optimal Execut…
This paper presents sufficient conditions for optimal control of systems with dynamics given by a linear operator, in order to obtain an explicit solution to the Bellman equation that can be calculated in a distributed fashion. Further, the…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
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…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
We revisit the Stochastic Knapsack problem, where a policy-maker chooses an execution order for jobs with fixed values and stochastic running-times, aiming to maximize the value completed by a deadline. Dean et al. (FOCS'04) show that…
This paper studies the risk-adjusted optimal timing to liquidate an option at the prevailing market price. In addition to maximizing the expected discounted return from option sale, we incorporate a path-dependent risk penalty based on…
Peer prediction mechanisms are often adopted to elicit truthful contributions from crowd workers when no ground-truth verification is available. Recently, mechanisms of this type have been developed to incentivize effort exertion, in…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend on a pair of stochastic factors, namely, a slow factor…
We study the optimal contract problem in the \emph{combinatorial actions} framework of D\"utting et al.~[FOCS'21], where a principal delegates a project to an agent who chooses a subset of hidden, costly actions, and the resulting reward is…
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…
The challenge of constructing feedback control laws for risk-averse optimal control of partial differential equations (PDEs) with random coefficients is addressed. The control objective composes a tracking-type cost with the nonlinear…
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting optimal bid and ask limit order prices tend to track the…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…
Motivated by applications in online marketplaces such as ride-hailing platforms and payment channel networks, we study a single-server queue with state-dependent arrival control. The service operator dynamically chooses the arrival rate as…
This paper concerns rollout and certainty-equivalent rollout policies for stochastic shortest path problems with absorbing terminal states. The main result provides a direct non-asymptotic performance certificate for a fixed rollout policy:…
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the temporary and permanent impact parameters vary deterministically…