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Stochastic Passivity in Stochastic Differential Equations: A Port-Hamiltonian Perspective
Julia Ackermann, Thomas Kruse, Stefan Tappe
We extend deterministic port-Hamiltonian systems (PHS) to a stochastic framework by means of stochastic differential equations. As the dissipation inequality plays a crucial role f…
math.OC2025
Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate…