相关论文: Win-score promotion gates in aggregator-routed RFQ…

We explore how dynamic entry deterrence operates through feedback strategies in markets experiencing stochastic demand fluctuations. The incumbent firm, aware of its own cost structure, can deter a potential competitor by strategically…

The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…

We study OTC bond market making on a size ladder with quadratic inventory penalty and a running target on the dealer's size-weighted hit ratio within a stochastic optimal control approach. We demonstrate that the corresponding reduced…

We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…

We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…

We study how an e-commerce firm should make real-time fulfillment decisions in a two-layer distribution network when multi-item customer orders arrive sequentially and future demand is unknown. The central managerial tension is whether to…

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 studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…

We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…

This paper develops a hierarchical games-in-games control architecture for hybrid stochastic systems governed by regime-switching jump-diffusions. We model the interplay between continuous state dynamics and discrete mode transitions as a…

We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…

We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework. By including a price mean-reversion signal into the optimization program, in a trading environment where market impact is linear and stage costs are…

Auto-bidding systems aim to maximize advertiser value over long horizons under budget constraints and ratio targets such as cost-per-acquisition, yet future traffic and auction dynamics are non-stationary and uncertain. Existing approaches…

This paper proposes an incentive-based aggregator for electric vehicles (EVs) in workplace parking lots to participate in the energy and regulation markets. With the implementation of seasonal Autoregressive Integrated Moving Average…

Fixed pickup and delivery times can strongly limit the performance of freight transportation. Against this backdrop, fleet operators can use compensation mechanisms such as monetary incentives to buy delay time from their customers, in…

We study a stochastic optimal control problem motivated by the operation of a large ensemble of residential storage devices coordinated by an energy aggregator. The aggregator remunerates prosumers in exchange for direct control of their…

This paper studies the optimal tracking control problem for continuous-time stochastic linear systems with multiplicative noise. The solution framework involves solving a stochastic algebraic Riccati equation for the feedback gain and a…

The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms respond to many auctions -- usually Vickrey auctions --…

We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal…

This paper considers a random access system where each sender can be in two modes of operation, active or not active, and where the set of active users is available to a common receiver only. Active transmitters encode data into independent…