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math.OC2026
Optimal control of McKean-Vlasov systems under partial observation and hidden Markov switching
Marco Fuhrman, Huyên Pham, Silvia Ruda
We study a class of mean-field control problems under partial observation. The controlled dynamics are of McKean-Vlasov type and are subject to regime switching driven by a hidden…
math.OC2024
Trading with propagators and constraints: applications to optimal execution and battery storage
Eduardo Abi Jaber, Nathan De Carvalho, Huyên Pham
Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and so…