New control strategy minimizes infected individuals in SIS epidemics.
problem Developing effective control strategies for SIS epidemics.
method Stochastic optimal control of SDEs with jumps, using treatment intensities.
result Control strategy consistently outperforms alternatives in synthetic data.
Optimizes dividend policies in a Brownian model with controlled rates.
problem Realistic optimal dividend policies in a stochastic control problem.
method Delayed linear control strategies for refracted diffusion processes.
result Optimality of delayed linear control strategies for dividend payments.
A linear model approximates Gaussian processes for efficient control.
problem Efficiently modeling and controlling Gaussian processes with many parameters.
method Developed a linear model using basis functions to approximate Gaussian processes.
result The linear model improves computational efficiency and feasibility of control strategies.
CTRL improves reinforcement learning by combining control strategies.
problem Controlling agents to herd and contain target agents in a goal region.
method CTRL algorithm that enhances tabular learning algorithms with a tutoring model-based control strategy.
result Significantly reduces learning times and improves exploration of the state-space.
A new trading strategy improves stock performance.
problem Improving stock trading performance using a generalized SLS framework.
method Developed a Generalized SLS (GSLS) trading strategy, tested on historical data, and optimized control parameters.
result Optimized GSLS strategy outperforms simpler SLS strategy and historical trading.
The paper solves stochastic control problems with implicit objectives, finding equilibrium strategies.
problem Stochastic control problems with implicitly defined objectives leading to time-inconsistency.
method Closed-loop equilibrium solutions in a controlled diffusion framework, providing sufficient and necessary conditions.
result Explicit characterization of equilibrium portfolio strategies in terms of ordinary differential equations.
A new search-control strategy improves Dyna's efficiency.
problem Improving sample efficiency in model-based reinforcement learning.
method Proposes a novel search-control strategy by sampling high frequency regions of the value function.
result Empirically shows that high frequency regions require more samples to approximate, suggesting a better search-control strategy.
Optimal withdrawal strategy for DC pension plans maximizes total withdrawals while managing risk.
problem Maximizing withdrawals from DC pension plans while managing risk.
method Optimal stochastic control approach with constraints on withdrawal and asset allocation.
result Optimal strategy yields higher average withdrawals with minimal increase in risk.
In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are first chosen by the two continuous/smooth fit conditions, and then the optimality o…
This work discusses a closed-loop control strategy for complex systems utilizing scarce and streaming data. A discrete embedding space is first built using hash functions applied to the sensor measurements from which a Markov process model is derived, approximating the complex system's dynamics. A control strategy is t…
New approach to optimal dividend control with mean-variance criterion.
problem Balancing expected dividends and variability in a singular control framework.
method Game-theoretic approach to find time-consistent equilibrium strategies.
result Verification theorem for MV singular dividend control problem.
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and div…
Study optimal liquidation strategies with infinite horizon and regime switching.
problem Optimal liquidation with semimartingale strategies in a stochastic environment.
method Characterization of value function and optimal strategy via BSDEs with infinite horizon.
result Existence and uniqueness of optimal control problem solutions.
Paper tackles risk-sensitive impulse control for continuous-time processes.
problem Risk-sensitive impulse control for continuous-time Feller-Markov processes.
method Probabilistic approach to solve Bellman equation and construct optimal strategy.
result Optimal strategy approximated by dyadic impulse strategies.
We prove continuity of a controlled SDE solution in Skorokhod's M1 and J1 topologies and also uniformly, in probability, as a non-linear functional of the control strategy. The functional comes from a finance problem to model price impact of a large investor in an illiquid market. We show that M1-continuity is…
Central bank optimizes bailout cash injection to limit defaults.
problem Optimizing cash injection to limit defaults in a system of mutual obligations.
method Proved convergence and solved a drift controlled Stefan problem using mean field control and policy gradient methods.
result Optimal strategies involve subsidizing banks with equity values in a time-dependent region.
Study optimal trading strategies for futures contracts using stochastic control.
problem Optimizing dynamic trading of futures contracts over a finite horizon.
method Formulate a utility maximization problem based on the Schwartz 97 model, solve HJB equation to derive optimal strategies.
result Derive optimal dynamic trading strategies in closed form for single or multiple futures contracts.
Optimal investment and risk control strategies for insurers are derived using a time-consistent approach.
problem Optimal investment and risk control for insurers under mean-variance criterion.
method Introducing a deterministic forward auxiliary process to formulate a time-consistent problem.
result Optimal strategy and value function obtained in closed-form for the new problem.
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for mom…
Proposes a virtual bidding strategy for electricity markets using stochastic control.
problem Optimizing electricity prices in day-ahead and real-time markets.
method Modeling price differences as Brownian motion with meteorological variables, transforming into portfolio management problem.
result Developed a strategy to manage electricity prices efficiently.
The paper addresses optimal control in modern tontines with bequest preferences, showing a linear investment strategy.
problem Optimal controls and decreasing allocation in modern tontines with bequest preferences.
method Dual approach to solve optimal control problems with power utilities, modeling bequest preferences.
result Investment strategy almost linearly adjusts from 0% to 100% over time.
New method optimizes share buyback contracts without optimal control's limitations.
problem High-dimensional state spaces and risk penalty selection issues in traditional methods.
method Applies optimized heuristic strategies and classical pricing methods.
result Maximizes contract value and disentangles repurchase from hedging.
Study optimizes portfolio liquidation strategies with complex market impacts.
problem Optimizing portfolio liquidation with transient market impacts and self-exciting order flow.
method Mean-field control problem with semimartingale strategies, passing to continuous-time limit, and solving Riccati equations.
result Existence of optimal strategy with jumps only at start and end of trading period.
Proposes a robust equilibrium strategy for mean-variance portfolio selection.
problem Time-inconsistency in mean-variance portfolio selection.
method Introduces a novel definition of robust equilibrium strategy and solves the corresponding PDE system.
result A classical solution to the PDE system implies a robust equilibrium strategy.
Optimal control problem for firm cash flow with dividend and capital injection strategies.
problem Maximizing dividends while managing capital injections in a firm's cash flow.
method Proved two optimal strategies: mean-reverting dividends with capital injections or no injections until ruin.
result Optimal strategies are dichotomous: either mean-reverting dividends with injections or no injections.
The paper develops optimal strategies for high-dimensional statistical arbitrage using factor models and stochastic control.
problem Optimal strategies for high-dimensional statistical arbitrage in a factor model setting.
method Combines factor models with stochastic control to derive optimal strategies.
result Closed-form optimal strategies for market-neutral portfolios in a high-dimensional setting.
Paper studies constrained control games with a novel approximation method.
problem Games with constrained control directions.
method Approximation procedure based on L1-stability estimates and almost sure convergence. result Existence of game's value and optimal strategy for the stopper.
Paper characterizes equilibrium strategies for stochastic control with higher-order moments.
problem Stochastic control problems with higher-order moments.
method Novel characterization of time-consistent control problems, deriving equilibrium conditions via BSDEs.
result Derives sufficient and necessary conditions for an open-loop Nash equilibrium control (ONEC) in a novel way.
Central bank strategy to maintain currency exchange rate within limits.
problem Maintaining a currency exchange rate within a target zone despite adverse economic trends.
method Modeling the problem with a continuous-time market impact model and solving it as a stochastic control problem.
result Optimal strategy minimizes accumulated inventory of foreign currency.
Unified approach for data-driven control of stochastic processes.
problem Developing practical strategies for stochastic control problems with unknown dynamics.
method Reduction to rate-optimal estimators of invariant distribution risk.
result Data-driven strategies can achieve better performance than known methods.
Study fairness in vaccine allocation in social networks.
problem Fairness implications of vaccine allocation strategies in social networks.
method Defined precision disease control problem, used ML Fairness Gym to simulate and analyze.
result Different treatment strategies distribute disease burden differently across subgroups.
ES optimization improved by structured control variates.
problem Improving accuracy of Evolution Strategies in RL.
method RL-specific variance reduction through structured control variates.
result Structured control variates outperform general variance reduction methods.
A game theory study examines gradual concessions in variable contribution games under uncertainty.
problem Gradualism in contribution games due to free rider effect.
method Stochastic game analysis of variable contribution games, extending Nerlove-Arrow model.
result Equilibrium characterized by regular control strategies leading to gradual concession.
Deep learning models generate music with arbitrary control strategies.
problem Lack of efficient methods for generating music with arbitrary control.
method Deep generative models learn to navigate arbitrary sound spaces.
result Deep learning enables high-quality, arbitrary sound synthesis.
Optimal control strategies modify wealth inequality variance.
problem Minimizing wealth inequality variance in a market economy.
method Kinetic models and model predictive control for wealth dynamics.
result Control modifies Pareto index of wealth distribution.
Defense strategy improves controller robustness against adversarial attacks.
problem Adversarial attacks on learning-enabled controllers in CPS.
method Two-stage defense strategy treating controller and environment as black-boxes with unknown dynamics.
result Defense strategy effectively improves controller robustness in realistic control domains.
Paper studies central bank's strategy to control systemic risk in interbank system.
problem Minimizing average distance between log-monetary reserves and target levels.
method Weak formulation, Ekeland's variational principle, Gamma-convergence, stochastic Fokker-Planck-Kolmogorov equation.
result Proves convergence of optimal strategies as number of banks increases.
Study optimal pairs trading with transaction costs using stochastic control.
problem Finding optimal trade times and shares in pairs trading with proportional costs.
method Singular stochastic control approach to solve a nonlinear quasi-variational inequality.
result Developed a discrete time dynamic programming algorithm to compute transaction regions.
Deep Hedging learns optimal strategies for various risk levels.
problem Finding optimal hedging policies for diverse risk aversions.
method Continuous Reinforcement Learning with actor-critic algorithm.
result Demonstrated effectiveness in a stochastic volatility model.
Deep RL trains a robust humanoid push-recovery policy.
problem Training robust humanoid push-recovery policies.
method Model-free Deep Reinforcement Learning.
result Policy learns robust behaviors across the entire body.
The paper analyzes strategic irreversible investments with novel dynamic strategies.
problem Tradeoff between preemption incentives and option value of waiting in oligopolistic markets.
method Developed novel Markov perfect equilibrium to handle singular control of optimal investment.
result Simpler strategies lead to a 'preemption trap' with zero net present values.
Paper optimizes aquaculture feeding and harvesting strategies for profit maximization.
problem Maximizing farm profit through optimal feeding and harvesting decisions under stochastic price dynamics.
method Developed a simplified aquaculture model and two numerical solution approaches: finite difference scheme and PINN-based method combined with DeepOS algorithm.
result PINN-based method achieves comparable accuracy to finite differences but is more scalable.
Paper introduces a new method for risk-sensitive investment management using RL.
problem Risk-sensitive portfolio management with unknown model parameters.
method Combines RL and risk-sensitive stochastic control with Gaussian perturbations for exploration.
result Endogenous relative-entropy regularization and optimal investment strategy derived.
The paper examines fair pricing and hedging stability under small numéraire perturbations.
problem Fair pricing and hedging stability under numéraire perturbations.
method Reformulating the stochastic control problem to show stability and deriving asymptotic formulas.
result Fair price and hedging strategy are stable with small numéraire perturbations.
Investigates optimal strategies for behavioral control problems with finite variation controls.
problem Behavioral singular stochastic control problems with finite variation controls.
method Abstract framework, applied to storage management and portfolio investment problems, using CPT preferences and Skorokhod representation theorem.
result Existence of optimal strategies for various goal functionals, including CPT preferences.
The paper solves a consumption-investment problem with state-dependent lower bounds.
problem A life-time consumption-investment problem with a state-dependent lower bound on consumption.
method Transformed the problem into a state-independent control problem to apply standard theory.
result Explicit optimal strategies provided for both homogeneous and non-homogeneous constraints.
Optimal reinsurance and investment strategies are derived under mean-variance criteria with partial information.
problem Optimal reinsurance and investment strategies for an insurance firm under mean-variance criteria with partially observable market dynamics.
method Formulated as a stochastic LQ control problem, solved using separation principle and stochastic filtering theory for partial information, and viscosity solution for full information.
result Efficient strategies and efficient frontier presented in closed forms via solutions to extended stochastic Riccati equations.
Optimal trading strategy in Proof-of-Stake blockchain using continuous-time control.
problem Finding the optimal balance between stake utility and consumption utility in Proof-of-Stake blockchain.
method Continuous-time control approach, dynamic programming, Hamilton-Jacobi-Bellman (HJB) equations.
result Close-form solutions for linear and convex utility functions, optimal strategies identified.