Market makers optimize trading with a new implicit scheme for complex inequalities.
problem Optimizing trading in a limit order book with stochastic and impulse control.
method Implicit numerical scheme coupled with policy iteration algorithm.
result Convergence to the unique viscosity solution of the HJBQVI.
Investor aims to meet financial goals with deadlines and target amounts, considering stock trading costs.
problem Goal-based portfolio selection with fixed transaction costs.
method Stochastic Perron's method to show value function is unique viscosity solution to quasi-variational inequalities. Existence of optimal strategy established.
result Optimal trading strategy differs significantly from frictionless case, revealing complex regions and strategies.
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is C2 except at the stopping boundary and that it is C1 everywhere (i.e. the smooth pasting conditio…
New method for handling multi-dimensional singular controls with jump costs in mean-field problems.
problem Handling jump costs in multi-dimensional singular controls.
method Introducing two-layer parametrisations to interpolate jumps on both distributional and pathwise levels.
result Derivation of a DPP and characterisation of the value function as a minimal super-solution to a quasi-variational inequality.
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on semiconvexity arguments, we prove that the value function is a classical solution to …
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin. Proportional reinsurance and excess-of-loss reinsurance are considered. The obj…
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its counterparts that use quasi-variational inequalities. Our method is direct, in the se…
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we …
In this paper we propose and analyze a class of N-player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification theorem. The associated Quasi-Variational-Inequalities include an essential game comp…
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii) penalized, and (iii) semi-Lagrangian discretization schemes applied to the HJBQVI proble…
Study bank salvage model with stochastic impulse controls to minimize costs.
problem Minimize total cost of saving a bank from default with unpredictable default time.
method Impulse stochastic controls to address the bank's default risk.
result Unique viscosity solution exists for the QVI, with Lipschitz and Holder continuity properties.
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem formulation. Then the associated utility maximization is formulated as an optimal swi…
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a pair to short the outperforming stock and to long the underperforming one. Such…
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a quasi-variational inequality (QVI) with solvency constraint satisfie…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order, which is defined as a Cox process whose intensity increases by the degree of the m…
Paper finds optimal selling rule for pairs trading with stock constraints.
problem Identifying the best time to sell in pairs trading of stocks.
method Optimal pairs-trading selling rule with constraints on trading.
result Closed-form solution for optimal policy determined by a threshold curve.
New tontine model with transaction costs for retirees.
problem Maximizing consumption and bequest utilities for retirees.
method Formulated as a stochastic and impulse control problem, characterized by viscosity solutions.
result V-shaped transaction region with two stages: smoothing and gambling.
The paper bridges stochastic control and deep hedging for European call options with transaction costs.
problem Hedging and pricing European call options with proportional transaction costs.
method Complementary perspectives: stochastic control and deep hedging. Two architectures proposed: NTBN-Delta and WW-NTBN.
result WW-NTBN converges faster, matches no-transaction bands more closely, and generalizes well across transaction cost regimes.
Study competitive energy markets using stochastic impulse games.
problem Maximizing profits in competitive retail energy markets.
method Connection between Nash equilibrium and quasi-variational inequalities (QVIs).
result Value functions are constrained viscosity solutions of QVIs.
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share commission no greater than the half bid-ask spread. Throughout the entire period, the mai…
Develops a new method for pricing GMWBs with jumps and stochastic interest rates.
problem Pricing guaranteed minimum withdrawal benefits (GMWBs) with jumps and stochastic interest rates.
method Combines semi-Lagrangian method with Fourier pricing and Green's function.
result Mathematically demonstrates convergence to the viscosity solution of the HJB-QVI.
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions as…
Optimal trading strategy between CEXs and DEXs with priority fees and stochastic delays.
problem Managing latency risk in trading between centralized and decentralized exchanges.
method Developed a mixed control framework combining absolutely continuous controls with impulse interventions, allowing for stochastic execution delays and multiple pending orders.
result Optimal priority fee selection significantly outperforms non-strategic fee selection.
Study optimal market making in Hawkes LOB market using impulse control and RL.
problem Optimal market making in Hawkes LOB market with queue dynamics and endogenous price impact.
method Impulse control framework, RL approximation, deep learning method.
result Strong empirical performance and solution to HJB-QVI with deep learning.
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.
Optimizes liquidity withdrawal timing for AMM LPs to balance fees and impermanent loss.
problem Balancing fees and impermanent loss in automated market makers.
method Stochastic control problem with endogenous stopping time, numerical solutions via Euler scheme and Longstaff-Schwartz method.
result Optimal exit strategy depends on volatility, fees, and market dynamics.
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular con…
Developed a monotone numerical method for MV portfolio optimization under jump-diffusion models.
problem Efficiently optimizing portfolios with jump-diffusion dynamics and investment constraints.
method Strictly monotone numerical integration method using Fourier transforms and composite quadrature rules.
result Proven to be ℓ∞-stable and pointwise consistent, converging to the MV optimization solution. RAmmStein optimizes liquidity management in AMMs by learning to rebalance efficiently.
problem Optimal control of concentrated liquidity in decentralized exchanges.
method Formulates as an optimal control problem, uses Deep Reinforcement Learning with HJB-QVI.
result Achieves highest net ROI (1.60%) compared to greedy strategies, reduces rebalancing frequency by 85%.
Market makers optimize bid/ask quotes under hidden Markov chain uncertainty.
problem Optimizing market quotes with hidden factors affecting order intensities.
method Solves stochastic control problem using filtering, control, and PDMPs theory.
result Value function is unique viscosity solution of dynamic programming equation.
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who continuously submits li…
The isoperimetric inequality and related inequalities are explored.
problem Proving the isoperimetric inequality and related inequalities.
method Discussing classical and recent proofs.
result Various proofs of the isoperimetric inequality and Sobolev inequality.
New proof of Willmore inequality using geometric divergence inequality.
problem Proving the Willmore inequality for bounded domains.
method Using a parametric geometric inequality derived from a divergence form geometric differential inequality.
result New proofs of quantitative Willmore-type and weighted Minkowski inequalities.
Lorentz-Finsler geometry reveals new and old inequalities.
problem Finding new inequalities using Lorentz-Finsler geometry.
method Applying reverse Cauchy-Schwarz and reverse triangle inequalities in Lorentz-Finsler geometry.
result Proved new and refined inequalities, including refinements of Aczél's inequality.
The paper derives new inequalities on manifolds and applies them to convex hypersurfaces.
problem Deriving new inequalities on manifolds and convex hypersurfaces.
method Using Fourier theory and geometric implications of Poincare-type inequalities.
result Sharp Minkowski-type inequalities, including stability and Alexandrov-Fenchel inequalities.
The paper proves inequalities on Finsler manifolds under Ricci curvature bounds.
problem Proving (p,q)-Sobolev and Nash inequalities on Finsler metric measure manifolds. method Global p-Poincaré inequality, (p,q)-Sobolev inequality, Nash inequality derivation. result Established global optimal (p,q)-Sobolev inequality with a sharp constant. New inequality on sphere generalizes circle inequality.
problem Generalizing circle inequality to sphere.
method Develops a new inequality on the sphere that incorporates mass center deviation.
result Improves Aubin's inequality and Onofri's inequality.
Paper proves anisotropic Minkowski inequality and related inequalities.
problem Proving anisotropic Minkowski inequality and related inequalities.
method Utilizes a nonlinear potential theoretic approach.
result Sharp anisotropic Minkowski inequality and related inequalities proved.
Explains geometric inequalities for minimal hypersurfaces.
problem Geometric inequalities for minimal hypersurfaces.
method Expository discussion of known inequalities.
result Discussion of classical inequalities for minimal hypersurfaces.
The paper finds new inequalities for convex polygons.
problem Finding precise inequalities for convex polygons.
method Analytic isoperimetric inequalities based on Schur convex functions, followed by Bonnesen-style and inverse Bonnesen-style inequalities.
result Sharp discrete isoperimetric inequalities for planar convex polygons.
The study improves Bochner inequality on Finsler manifolds to derive important inequalities.
problem Improving Bochner inequality on Finsler manifolds to derive new inequalities.
method Using improved Bochner inequality and its integrated form, the study derives a sharp Poincaré-Lichnerowicz inequality, a new proof for logarithmic Sobolev inequality, and an estimate of geodesic ball volumes.
result Derivation of new inequalities and estimates on Finsler manifolds.
The paper proves various inequalities on gradient shrinking Ricci solitons.
problem Understanding geometric inequalities on gradient shrinking Ricci solitons.
method Proving multiple inequalities equivalent on complete gradient shrinking Ricci solitons.
result Various inequalities (Sobolev, logarithmic Sobolev, Schrödinger, etc.) are equivalent on gradient shrinking Ricci solitons.
Sharp inequality found on three-balls for fourth order Sobolev traces.
problem Fourth order Sobolev trace inequality on three-balls.
method Established through equivalence to a third order Sobolev inequality on two-spheres.
result Sharp fourth order Sobolev trace inequality on three-balls.
Sharp inequalities for star bodies in 2D space.
problem Understanding star bodies in 2D space.
method Sharp inequalities for star bodies in R2. result New inequalities and proofs for star bodies.
The paper develops inequalities for log-concave functions and related surface areas.
problem Understanding log-concave functions and their inequalities.
method Establishing new inequalities through f-divergences and functional affine surface areas.
result New inequalities on functional affine surface area and bounds for Kullback-Leibler divergence.
Study on functional inequalities on simple edge spaces.
problem Whether classical functional inequalities hold in simple edge spaces.
method Analyzing Sobolev and Poincaré inequalities, proving optimality of Sobolev constant.
result Optimality result concerning the B-constant of the Sobolev inequality.
Proves inequalities on curved spaces with positive curvature.
problem Proving inequalities on manifolds with nonnegative Ricci curvature.
method Analyzes manifolds with nonnegative Ricci curvature and Euclidean volume growth.
result Proves Heisenberg-Pauli-Weyl, Hardy-Sobolev, and Caffarelli-Kohn-Nirenberg inequalities.