相关论文: Zero-Knowledge Optimal Monetary Policy under Stoch…

This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…

This paper proposes a reinforcement learning--based framework for cryptocurrency portfolio management using the Soft Actor--Critic (SAC) and Deep Deterministic Policy Gradient (DDPG) algorithms. Traditional portfolio optimization methods…

A minimal central bank credibility, with a non-zero probability of not renegning his commitment ("quasi-commitment"), is a necessary condition for anchoring inflation expectations and stabilizing inflation dynamics. By contrast, a complete…

In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…

A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. Investors in this emerging digital market are exploring the profitability potential of portfolios in place of single coins. Portfolios are…

In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…

The blockchain paradigm provides a mechanism for content dissemination and distributed consensus on Peer-to-Peer (P2P) networks. While this paradigm has been widely adopted in industry, it has not been carefully analyzed in terms of its…

This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…

We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…

Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…

We address the design and synthesis of optimal control strategies for high-dimensional stochastic dynamical systems. Such systems may be deterministic nonlinear systems evolving from random initial states, or systems driven by random…

Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…

Model agnostic controller learning, for instance by direct policy optimization, has been the object of renewed attention lately, since it avoids a computationally expensive system identification step. Indeed, direct policy search has been…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…

This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…

We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…

Stochastic controllers are perceived as a promising solution for techno-economic operation of distribution networks having higher generation uncertainties at large penetration of renewables. These controllers are supported by forecasters…

Current cryptocurrencies, starting with Bitcoin, build a decentralized blockchain-based transaction ledger, maintained through proofs-of-work that also generate a monetary supply. Such decentralization has benefits, such as independence…

An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…