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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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2 results for “HJB-Fokker-Planck”

A mean-field game of market-making against strategic tradersq-fin.MF

Market-maker optimizes quotes based on strategic market-takers' behavior.

problem Optimizing market-making strategies in a strategic trading environment.

method Mean-field game approach to model strategic market-takers and derive optimal controls.

result Derivation of optimal controls for market-maker and market-taker.

market-making strategic traders mean-field game HJB-Fokker-Planck optimal controls

2022-03-24abs ↗pdf ↗

Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Poolsq-fin.MF

Study optimal liquidation strategies in lit and dark pools with and without regulation.

problem Optimal liquidation strategies in dark and lit pools with execution uncertainty.

method Design optimal make-take fee policies, solve HJB-Fokker-Planck systems, use BSDEs.

result Explicit solutions for optimal strategies in both competitive and regulated markets.

Optimal liquidation Dark pools Lit pools Market impact Regulation

2025-09-04abs ↗pdf ↗