相关论文: Centralized systemic risk control in the interbank…

In this paper, we study the controllability and stabilizability properties of the Kolmogorov forward equation of a continuous time Markov chain (CTMC) evolving on a finite state space, using the transition rates as the control parameters.…

In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…

In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and allow notably some coefficients to be stochastic. Extension to…

Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…

We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…

We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…

Control Barrier Functions (CBFs) have become a popular tool for enforcing set invariance in safety-critical control systems. While guaranteeing safety, most CBF approaches are myopic in the sense that they solve an optimization problem at…

The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…

The purpose of this article is to study a stochastic control problem on a junction, with control at the junction point. The problem of control is formulated in the weak sense, using a relaxed control, namely a control which takes values in…

In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…

A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…

We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…

We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…

Introduction of renewable generation leads to significant reduction of inertia in power system, which deteriorates the quality of frequency control. This paper suggests a new control scheme utilizing controllable load to deal with low…

The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…

We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital…

This paper is concerned with an optimal investment problem under correlated noises in the financial market, and the expected utility functional is hyperbolic absolute risk aversion (HARA) with the exponent $\gamma\neq0$. The problem can be…

This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…