相关论文: Reducing Obizhaeva-Wang type trade execution probl…

In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…

We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density…

This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…

We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…

We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…

This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…

This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different.…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

We study the optimal execution of market and limit orders with permanent and temporary price impacts as well as uncertainty in the filling of limit orders. Our continuous-time model incorporates a trade speed limiter and a trader director…

This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…

This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…

This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…

The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…

This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…

Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and solve an optimal trading problem with a general propagator…