Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions

We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by introducing a downward drift in the unaffected asset price while simultaneously ruling out short sales. In this setting the liquidation time horizon becomes a stopping time determined endogenously, as part of the optimal strategy. We find that the optimal liquidation strategy is consistent with the square-root law which states that the average price impact per share is proportional to the square root of the size of the meta-order (Bershova & Rakhlin,2013; Farmer et?al., 2013; Donier et?al., 2015; Tóth (2016).Mathematically, the Hamilton–Jacobi–Bellman equation of our optimization leads to a severely singular and numerically unstable ordinary differential equation initial value problem. We provide careful analysis of related singular mixed boundary value problems and devise a numerically stable computation strategy by re-introducing time dimension into an otherwise time-homogeneous task.     

人才管理的一个决策模型

本文应用随机过程理论，结合最优化方法．给出一个企业雇员素质管理的Ｍａｒｋｏｖ决策模型．     

The toll effect on price of anarchy when costs are nonlinear and asymmetric

We examine the efficiency of the optimal tolls by establishing the bound for the price of anarchy when the levied tolls are also considered as a part of the cost functions. For linear and nonlinear asymmetric cost functions, we prove that the price of anarchy of the system with tolls is lower than that without tolls. Furthermore, we show that the total disutility caused to the users by the tolls is bounded by a multiple of the original optimal system cost.     

利用干扰信号二阶差分进行最优预见伺服系统设计

本文研究从偏差系统出发，利用干扰信号的二阶差分进行最优预见伺服系统设计的方法．这种设计方法适用于有输入时间滞后的线性控制系统．     

财政收支平衡控制模型及其应用

本文运用现代控制论的原理与方法研究了地区（或县、市）一级财政收支平衡的控制问题。把财政收支平衡的控制问题置于国民经济系统之中，运用最优控制论建立了最优积累率控制模型；进而，从所求得的最优积累率为出发点，讨论了财政收支的平衡控制，并建立了相应的控制模型。     

Optimal control problem for viscous Cahn-Hilliard equation

This paper is concerned with the viscous Cahn-Hilliard equation, which arises in the dynamics of viscous first order phase transitions in cooling binary solutions. The optimal control under boundary condition is given and the existence of optimal solution to the equation is proved.     

Properties of game options

A game option is an American option with the added feature that not only the option holder, but also the option writer, can exercise the option at any time. We characterize the value of a perpetual game option in terms of excessive functions, and we use the connection between excessive functions and concave functions to explicitly determine the value in some examples. Moreover, a condition on the two contract functions is provided under which the value is convex in the underlying diffusion value in the continuation region and increasing in the diffusion coefficient.Mathematics Subject Classification (2000) Primary 91A15, Secondary 60G40, 91B28     

具有终端不等式约束的线性二次控制问题

本文研究具有终端不等式约束的线性二次控制问题,得到了最优控制的反馈形式.所得到的反馈形式与相应的无约束问题的Riccati微分方程和一个函数矩阵的线性方程的解有关.     

Optimal Control of Linear Time-Varying Systems via Haar Wavelets

This paper introduces the application of Haar wavelets to the optimal control synthesis for linear time-varying systems. Based upon some useful properties of Haar wavelets, a special product matrix, a related coefficient matrix, and an operational matrix of backward integration are proposed to solve the adjoint equation of optimization. The results obtained by the proposed Haar approach are almost the same as those obtained by the conventional Riccati method.     

On a Problem of Optimal Stochastic Control with Incomplete Information

We study a problem of Bayesian adaptive control arising in mathematical finance. For this particular problem, we obtain explicit formulas for the value function and the optimal control policy.     

Conditions implying the vanishing of the Hamiltonian at infinity in optimal control problems

In an infinite horizon optimal control problem the Hamiltonian vanishes at infinity when the differential equation is autonomous and the integrand in the criterion satisfies some weak integrability conditions. A generalization of Michel’s result (in Econometrica 50:975–985, 1982) is obtained.     

On the optimal control of a single-server queueing system: Reply

This comment replies to a criticism due to Klein and Gruver (Ref. 1) of our earlier paper (Ref. 2) on the application of control theory to a queueing system. The criticism concerns the state-space diagram and the table which we inadvertently gave for the terminal-reward problem, albeit incorrectly labeled, rather than for the free-endpoint problem considered in our paper. We show that the solution given by Klein and Gruver is itself incorrect and nonoptimal.     

Optimal control of unilateral obstacle problem with a source term

We consider an optimal control problem for the obstacle problem with an elliptic variational inequality. The obstacle function which is the control function is assumed in H². We use an approximate technique to introduce a family of problems governed by variational equations. We prove optimal solutions existence and give necessary optimality conditions. The author is grateful to Prof. M. Bergounioux for her instructive suggestions.     

Dynamics for controlled 2-D Boussinesq systems with distributed controls

The long-time behavior of solutions for an optimal distributed control problem associated with the Boussinesq equations is studied. First, a quasi-optimal solution for the Boussinesq equations is constructed; this quasi-optimal solution possesses the decay (in time) properties. Then, some preliminary estimates for the long-time behavior of all solutions of the Boussinesq equations are derived. Next, the existence of a solution for the optimal control problem is proved. Finally, the long-time decay properties for the optimal solutions is established.     

Finding candidate singular optimal controls: A state of the art survey

Pontryagin's maximum principle gives no information about a singular optimal control if the problem is linear. This survey shows how candidate singular optimal controls may be found for linear and nonlinear problems. A theorem is given on the maximum order of a linear singular problem.This paper is based in part on the research undertaken by the author at the Hatfield Polytechnic, Hatfield, Hertfordshire, England, for the Ph.D. Degree.