3 papers
math.OC2026
Solving Linear-Quadratic Stochastic Control Problems with Signatures
Alif Aqsha, Peter Bank, Leandro Sánchez-Betancourt
We study a signature-driven numerical scheme to solve multi-dimensional linear-quadratic (LQ) stochastic control problems. Using that linear signature functionals are dense in the…
q-fin.TR2026
Strategic Learning and Trading in Broker-Mediated Markets
Alif Aqsha, Fayçal Drissi, Leandro Sánchez-Betancourt
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader an…
q-fin.TR2025
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Alif Aqsha, Philippe Bergault, Leandro Sánchez-Betancourt
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by…