9 citations · 26 across the 9 of their papers we have counts for
9 papers
Local null controllability of a quasi-linear system and related numerical experiments
Enrique Fernández-Cara, Juan Límaco, Yuri Thamsten +1
This paper concerns the null control of quasi-linear parabolic systems where the diffusion coefficient depends on the gradient of the state variable. In our main theoretical result…
Approximately optimal trade execution strategies under fast mean-reversion
David Evangelista, Yuri Thamsten
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Es…
On Pareto Equilibria for Some Bi-Objective Optimal Control Problems
Pitágoras P. de Carvalho, Enrique Fernández-Cara, Juan Límaco +2
We investigate Pareto equilibria for bi-objective optimal control problems. Our framework comprises the situation in which an agent acts with a distributed control in a portion of…
Local null controllability of a class of non-Newtonian incompressible viscous fluids
Pitágoras de Carvalho, Juan Límaco, Denilson Menezes +1
We investigate the null controllability property of systems that mathematically describe the dynamics of some non-Newtonian incompressible viscous flows. The principal model we stu…
Optimal Trading in Automated Market Makers with Deep Learning
Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza +1
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interact…
A mathematical framework for dynamical social interactions with dissimulation
Yuri Saporito, Max O. Souza, Yuri Thamsten
Modeling social interactions is a challenging task that requires flexible frameworks. For instance, dissimulation and externalities are relevant features influencing such systems -…
Price formation in financial markets: a game-theoretic perspective
David Evangelista, Yuri Saporito, Yuri Thamsten
We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-…
On regularized optimal execution problems and their singular limits
Max O. Souza, Yuri Thamsten
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian sto…
On finite population games of optimal trading
David Evangelista, Yuri Thamsten
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochast…