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.
New framework for analyzing games with multi-dimensional singular controls and non-linear jumps.
New method for handling multi-dimensional singular controls with jump costs in mean-field problems.
Study on mean field games with singular controls and their applications.
Model cash management under ambiguity using maxmin preferences and diffusion.
Paper studies constrained control games with a novel approximation method.
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approxima…
Study on inventory management under uncertainty using smooth ambiguity preference.
Paper shows equivalence between two dividend preference models.
The paper tackles optimal stopping problems using reinforcement learning and singular control.
We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms of a completely monotone kernel. This problem occurs both in potential theory and when looking for optimal financial order execution strate…
We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random variables to the level of optimal expected utility from increasing, adapted controls. The main contributions are the f…
Study optimal control of diffusion processes with infimum or supremum costs.
Study on games with degenerate diffusion matrices, proving value existence and convergence.
A model optimizes carbon emission reduction and allowance purchasing for companies.
Solves inventory control with unknown demand trend using singular control.
The paper analyzes strategic irreversible investments with novel dynamic strategies.
Study explores optimal strategies in games with multiple players and mean-field interactions.
We show an example providing a significance in geometric control theory of the existence of the dependence locus of a system of vector fields in particular, the generic appearance of non-trivial singular trajectories embedded in the dependence locus.
Two firms compete in a financial market, choosing dividend strategies to avoid default and maximize profits.
New approach to optimal dividend control with mean-variance criterion.
Study on reinsurance decisions using mean-variance criterion with irreversible contracts.
We consider a stochastic game of contribution to the common good in which the players have continuous control over the degree of contribution, and we examine the gradualism arising from the free rider effect. This game belongs to the class of variable concession games which generalize wars of attrition. Previously know…
The Positive Mass Theorem for special singular initial data.
Study optimal consumption and portfolio strategies with no-borrowing constraint in financial markets.
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. Our results are obt…
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in productive assets resulting in a performance sensitive interest rate on debt. We f…
Study of multidimensional control problems with reflection controls.
We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to minimize her probability of lifetime ruin. Without relying on the dynamic programming…
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis to compare the solution for the MFG with that for the single-agent control proble…
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. Moreover, we give regularity properties of the value functi…
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 focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a stochastic singular control problem. The value function is characterized as the …
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochastic in that the volume effect process, which determi…
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple stocks and a bank account in order to maximize the finite horizon discounted utilit…
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating an ever increasing risky position in foreign reserves. We describe this situation…
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential Lévy process. The model is a generalization of the celebrated work of Davis, Panas and Zariphopoulou (1993), where the value of the option is defined as the utility …
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtained b…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propos…
Study optimal consumption with relaxed benchmarks and drawdown constraints.
Study optimal stock purchases under fluctuating market resilience.
The paper extends Merton's problem by adding benchmark tracking, finding optimal strategies.
Study portfolio optimization with transaction costs and recursive preferences.
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value depends on the current …
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied by Dybvig (1995) [Review …