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Exploratory Control with Tsallis Entropy for Latent Factor Models
To encourage exploration of the state space, we reward exploration with Tsallis Entropy and derive the optimal distribution over states - which we prove is $q$-Gaussian distributed with location characterized through the solution of an FBS$\Delta$E and FBSDE in discrete and continuous time, respectively.
Dynamic Inventory Management with Mean-Field Competition
Properties of the equilibrium pricing strategies and overall market dynamics are then investigated, in particular how they depend on the strength of the competitive interaction and the ability to oversell the product.
Insider Trading with Temporary Price Impact
In a single auction model, equilibrium is characterized by the unique root of a particular polynomial.
Optimal Trading with Differing Trade Signals
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price.
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
A risk-averse agent hedges her exposure to a non-tradable risk factor $U$ using a correlated traded asset $S$ and accounts for the impact of her trades on both factors.
