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Some applications of linear programming formulations in stochastic control
International audience -
Stochastic receding horizon control with output feedback and bounded controls
International audience -
Stochastic control and applications to finance
This thesis contains three parts that can be read independently. In the first part, we study the resolution of stochastic control problems by quantization methods. The... -
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive I...
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts.... -
High-frequency market-making with inventory constraints and directional bets
We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8... -
On Resource Optimization and Robust CQI Reporting for Wireless Communication ...
Adaptive resource allocation in wireless communication systems is crucial in order to support the diverse QoS needs of the services and optimize resource utilization.... -
Stabilization of discrete-time quantum systems and stability of continuous-ti...
In this thesis, we study measurement-based feedbacks stabilizing discrete-time quantum systems subject to quantum non-demolition (QND) measurements and stability of... -
A note on solutions to controlled martingale problems and their conditioning
In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic... -
Existence of Asymptotic Values for Nonexpansive Stochastic Control Systems
International audience -
Time-Consistency: from Optimization to Risk Measures
Stochastic optimal control is concerned with sequential decision-making under uncertainty. The theory of dynamic risk measures gives values to stochastic processes...
