Optimal execution problem: a combined stochastic optimal control approach

Optimal Execution of a VWAP Order: a Stochastic Control Approach

We consider the optimal liquidation of a position of stock (long or short) where trading has a temporary market impact on the price. The aim is to minimize both the mean and variance of the order slippage with respect to a benchmark given by the market VWAP (volume weighted average price). In this setting, we introduce a new model for the relative volume curve which allows simultaneously for ac...

Optimal Transportation Problem by Stochastic Optimal Control

We solve optimal transportation problem using stochastic optimal control theory. Indeed, for a super linear cost at most quadratic at infinity, we prove Kantorovich duality theorem by a zero noise limit (or vanishing viscosity) argument.. We also obtain a characterization of the support of an optimal measure in Monge-Kantorovich minimization problem (MKP) as a graph. Our key tool is a duality r...

Higher Order Statistical Approach to Nonlinear Stochastic Optimal Control Problem

This paper presents the formulation of an optimal control methodology for nonlinear stochastic systems, where the control objective is to obtain a feedback law that would minimizes the higher order statistics associated with the traditional integral quadratic cost. The two part control scheme proposed here consist of approximating the probability density function associated with the nonlinear p...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

An optimal control problem for a engineering system

In this article, we apply this new method for solving an engineering systemwith initial and boundary conditions and integral criterion ,and we will usingdynamic programming as iteration for solving model.