arXiv research

Optimizes control of noisy discrete systems without system matrix knowledge.

The paper improves regret bounds for admission control in queueing systems.

New framework for analyzing games with multi-dimensional singular controls and non-linear jumps.

Model predicts wound and episode-level readmission risk and time to re-admit.

We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while maintaining low probability of blackouts. The key question we investigate are empi…

Foundation for learning in changing conditions.

A learning-based algorithm optimizes admission control in a queuing system.

Bayesian inference over admissible histories leads to irreversible kinetics.

The paper tackles robust control for insurance contracts under uncertain transition rates.

Counterexample shows state-constrained optimal control problems can have Young measure gaps.

Given a rank 2 hermitian bundle over a 3-manifold that is non-trivial admissible in the sense of Floer, one defines its Casson invariant as half the signed count of its projectively flat connections, suitably perturbed. We show that the 2-divisibility of this integer invariant is controlled in part by a formula involvi…

Study helical motions of lines in 3D spaces, solving control problems.

New conditions prevent gaps in optimal control problems.

A large collection of financial contracts offering guaranteed minimum benefits are often posed as control problems, in which at any point in the solution domain, a control is able to take any one of an uncountable number of values from the admissible set. Often, such contracts specify that the holder exert control at a…

We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and non-linear in the order size. We construct explicit solutions for the optimal contr…

Deep neural nets approximate high-dimensional HJB equations efficiently.

Paper studies constrained control games with a novel approximation method.

Optimal dividend payout strategy found for Brownian risk model with ratcheting constraint.

In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we first establish a rigo…

We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $μ_t$ and the volatility $σ_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest $\fracμ{σ^2}$ at every point in time an extremal process is constructed which is under suita…

We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among a…

We extend the Pontryagin Maximum Principle (PMP) to the geometric setting of almost-Lie (AL) algebroids -- objects which generalize Lie algebroids. The result may be understood as a very general reduction scheme for optimal control problems (OCPs). It covers the standard PMP, as well as gives necessary optimality condi…

Four geometries govern sequential and distribution-free inference.

New control theory for self-path-dependent problems solves unique constraints.

Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of the optimal value function for the nonlinear asset allocation problem in a (non-M…

A new approach optimizes weights in DLP for better risk-adjusted performance.

Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck (fOU) process with Hurst index $H \in (\frac{1}{2}, 1)$. In this paper, we analyz…

The paper proves Mabuchi solitons and constants on Fano admissible manifolds.

Paper provides criteria to detect non-admissible quandles via coloring.

The enumeration of normal surfaces is a key bottleneck in computational three-dimensional topology. The underlying procedure is the enumeration of admissible vertices of a high-dimensional polytope, where admissibility is a powerful but non-linear and non-convex constraint. The main results of this paper are significan…

A Lie-admissible algebra gives by anticommutativity a Lie algebra. In this work we study remarkable classes of Lie-admissible algebras such as Vinberg, PreLie algebras. We compute the corresponding binary quadratic operads and study their Koszul duality. Considering Lie algebras as Lie-admissible algebras we can define…

In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or strictly concave. The value function is smooth if admissible controls satisfy an integrability condition or if it is contin…

Investigates admissible metrics on compact Kähler varieties and their stability.

New examples show deletion type admissible pairs can be rigid under rational saturation.

Topological obstructions to admissibility in $σ_k$-Loewner--Nirenberg problem

The paper proves Liouville rigidity for Hessian equations, characterizing geometric conditions for constant solutions.

We decompose the squared price-of-risk premium into three components: intervention-stable premium, confounding wedge, and information loss.

Paper classifies conic submanifolds in control systems.

The paper defines and solves time-inconsistent stopping control problems in multi-dimensional diffusion models.

In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage manager and the energy price process, which is a diffusion process the drift of w…

A new method solves complex control problems with random coefficients.

Paper explores rough path theory for frictionless markets, linking NCFL to unbiased rough integrators.

We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control problem of maximizing expected cumulative discounted dividend payments (among al…

Given a hyperbolic surface, the set of all closed geodesics whose length is minimal form a graph on the surface, in fact a so-called fat graph, which we call the systolic graph. We study which fat graphs are systolic graphs for some surface (we call these admissible). There is a natural necessary condition on such grap…

Study on pre-Lie structures for semisimple Lie algebras over C.

Statistical tests for fairness in admissions data reveal hidden patterns.

The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last twenty years. We…

Introduces admissible skein modules for non-semisimple categories.