Top Tweets for #StochasticControl
as-mm-lab — market making Avellaneda-Stoikov
as-mm-lab: modelo Avellaneda-Stoikov de market making do zero.
Reservation price + half-spread ótimo, fill sim com Poisson
e Hawkes, plots de PnL e inventário.
https://t.co/kGfsSslGiL
#quant #marketmaking #stochasticcontrol #python
AlphaManager: A Data-Driven-Robust-Control Approach to Corporate Finance by Murillo CAMPELLO, Lin William Cong, Luofeng ZHOU
https://t.co/lf0SxUzWfd
#AI #BigData #CorporateFinance, #DeepLearning #GenerativeModeling #InverseRL #OfflineRL #StochasticControl #TransferLearning
📈📉 OPTIMAL EXECUTION UNDER SELF-EXCITING ORDER FLOW: A STOCHASTIC CONTROL FRAMEWORK
🔗 Full #OpenAccess preprint on #TechRxiv!👇
#IEEE #Finance #Mathematics #MarketImpact #StochasticControl #Technology https://t.co/FmdBff2ZEw
🙌 #Publications2025 #RiskModeling #FinancialMathematics
✔️ On the Multi-Periodic Threshold Strategy for the Spectrally Negative Levy Risk Model
👉 https://t.co/Q8zmVqlKa9
#RiskModeling #FinancialMathematics #LévyProcess
#StochasticControl #QuantitativeFinance
Exact controllability of discrete-time stochastic system with multiplicative noise and control constraint
#StochasticControl #ExactControllability #ControlTheory
International Robotics and Automation Awards
Visit Us: https://t.co/tsUXfhKAuA
Nomination:https://t.co/SHfgLi1ALg
🔍 Martingale Consumption in Economic Models
We analyze agents who consume/invest continuously over time. Key goal: achieving martingale consumption with optimal strategies.
#EconTheory #FinancialModeling #StochasticControl
Looking forward to feedback and discussions!
#DeepLearning #ScientificMachineLearning #StochasticProcesses #BSVIE #QuantitativeFinance #StochasticControl #Preprint #MathAI #Research
Duality Holds:
Under mild assumptions, the saddle point satisfies:
inf_B sup_A Fi = sup_A inf_B Fi
This validates strong duality in our pricing model, offering equilibrium under uncertainty and strategy choice.
#GameTheory #StochasticControl #QuantitativeFinance
How do we extract an explicit form for a data asset's price (Pi)?
We reformulate the stochastic control problem as a saddle point problem with multivariate constraints—unlocking a new level of analytical clarity in data pricing.
#QuantFinance #StochasticControl #DataValuation
Mathematical foundation:
We model the investor’s preferences using robust expected utility. The ambiguity set B reflects their uncertainty. Buying data reduces ambiguity:
B1 ⊃ B2More data = tighter estimates = better decisions.
#StochasticControl #FinanceResearch #DataValuation
#Mathematics #Particularinterest
✨ Share a Feature Paper titled "A #StochasticControl Approach for Constrained #Stochastic #Differential Games with Jumps and Regimes" with you.
🔗 Link: https://t.co/twAacmr5ka
#MDPIOpenAccess @ComSciMath_Mdpi
#NextatBIRS Applications of Stochastic Control to Finance and Economics, April 30 - May 5, 2023
https://t.co/EUXcq9J7iL
#StochasticControl #EconomicTheory #AppliedMathmatics #MathFinance
@NSF-MPS #DMSFunded @CRSNG_NSERC @Innovation_AB
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