Optimal market making under partial information and numerical methods for impulse control games with applications

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on the spreads she quotes, but also on unobservable factors modelled by a hidden Markov chain. This stochastic control problem under partial information is solved by means of stochastic filtering, control and piecewise-deterministic Markov processes theory. The value function is characterized as the unique continuous viscosity solution of its dynamic programming equation. Afterwards, the analogous full information problem is solved and results are compared numerically through a concrete example. The optimal full information spreads are shown to be biased when the exact market regime is unknown, as the market maker needs to adjust for additional regime uncertainty in terms of P&L sensitivity and observable order ow volatility. The second part deals with numerically solving nonzero-sum stochastic differential games with impulse controls. These offer a realistic and far-reaching modelling framework for applications within finance, energy markets and other areas, but the diffculty in solving such problems has hindered their proliferation. Semi-analytical approaches make strong assumptions pertaining very particular cases. To the author's best knowledge, there are no numerical methods available in the literature. A policy-iteration-type solver is proposed to solve an underlying system of quasi-variational inequalities, and it is validated numerically with reassuring results. In particular, it is observed that the algorithm does not enjoy global convergence and a heuristic methodology is proposed to construct initial guesses. Eventually, the focus is put on games with a symmetric structure and a substantially improved version of the former algorithm is put forward. A rigorous convergence analysis is undertaken with natural assumptions on the players strategies, which admit graph-theoretic interpretations in the context of weakly chained diagonally dominant matrices. A provably convergent single-player impulse control solver, often outperforming classical policy iteration, is also provided. The main algorithm is used to compute with high precision equilibrium payoffs and Nash equilibria of otherwise too challenging problems, and even some for which results go beyond the scope of all the currently available theory

Optimal control in ink-jet printing via instantaneous control

This paper concerns the optimal control of a free surface flow with moving contact line, inspired by an application in ink-jet printing. Surface tension, contact angle and wall friction are taken into account by means of the generalized Navier boundary condition. The time-dependent differential system is discretized by an arbitrary Lagrangian-Eulerian finite element method, and a control problem is addressed by an instantaneous control approach, based on the time discretization of the flow equations. The resulting control procedure is computationally highly efficient and its assessment by numerical tests show its effectiveness in deadening the natural oscillations that occur inside the nozzle and reducing significantly the duration of the transient preceding the attainment of the equilibrium configuration

On impulsive nonlocal integro-initial value problems involving multi-order Caputo-type generalized fractional derivatives and generalized fractional integrals

In this paper, we present sufficient criteria ensuring the existence and uniqueness of solutions for nonlinear impulsive multi-order Caputo-type generalized fractional differential equations supplemented with nonlocal integro-initial value conditions involving generalized fractional integrals. Extremal solutions for the given problem are also discussed. The main tools of our study include Krasnoselskii’s fixed point theorem, Banach contraction mapping principle and monotone iterative technique. Examples are constructed for illustrating the obtained resultsThis project was funded by the Deanship of Scientific Research (DSR), King Abdulaziz University, Jeddah, Saudi Arabia under grant no. (RG-1-130-39)S

Extensions of some differential inequalities for fractional integro-differential equations via upper and lower solutions

This paper deals with some differential inequalities for generalized fractional integro-differential equations by using the technique of upper and lower solutions. The fractional differential operator is taken in Caputo’s sense and the nonlinear term divided into two parts depends on the fractional integrals of an unknown function with two different fractional orders. The results are studied by employing a variety of coupled upper and lower solutions. These theorems have some potential for extending the iterative techniques to fractional order integro-differential equations and to coupled systems of integro-differential fractional equations to obtain the existence of solutions as well as approximate solutions for the considered problem

An approach to the problem of optimizing orbital maneuvers

Problem of time open maneuvering of orbital vehicle in Newtonian gravitational field while conserving characteristic velocity of maneuve

Structure Preserving and Scalable Simulation of Colliding Systems

Predictive computational tools to study granular materials are important in fields ranging from the geosciences and civil engineering to computer graphics. The simulation of granular materials, however, presents many challenges. The behavior of a granular medium is fundamentally multi-scale, with pair-wise interactions between discrete granules able to influence the continuum-scale evolution of a bulk material. Computational techniques for studying granular materials must therefore contend with this multi-scale nature. This research first addresses both the question of how to accurately model interactions between grains and the question of how to achieve multi-scale simulations of granular materials. We propose a novel rigid body contact model and a time integration technique that, for the first time, are able to simultaneously capture five key features of rigid body impact. We further validate this new model and time integration method by reproducing computationally challenging phenomena from granular physics. We next propose a technique to couple discrete and continuum models of granular materials to one another. This hybrid model reveals a family of possible discretizations suitable for simulation. We derive an explicit integration technique from this framework that is able to capture phenomena previously reserved for discrete treatments, including frictional jamming, while treating bulk regions of the material with a continuum model. To effectively handle the large plastic deformations inherent in the evolution of a granular medium, we further propose a method to dynamically update which regions are treated with a discrete model and which regions are treated with a continuum model. We demonstrate that hybrid simulations of a dynamically evolving granular material are possible and practical, and lay the foundation for further algorithmic development in this space. Finally, as the the tools used in computational science and engineering become progressively more complex, the ability to effectively train students in the field becomes increasingly important. We address the question of how to train students from a computer science background in numerical computation techniques by proposing a new system to automatically vet and identify problems in numerical simulations. This system has been deployed at the undergraduate and graduate level in a course on physical simulation at Columbia University, and has increased both student retention and student satisfaction with the course

Fractional Differential Equations, Inclusions and Inequalities with Applications

During the last decade, there has been an increased interest in fractional differential equations, inclusions, and inequalities, as they play a fundamental role in the modeling of numerous phenomena, in particular, in physics, biomathematics, blood flow phenomena, ecology, environmental issues, viscoelasticity, aerodynamics, electrodynamics of complex medium, electrical circuits, electron-analytical chemistry, control theory, etc. This book presents collective works published in the recent Special Issue (SI) entitled "Fractional Differential Equation, Inclusions and Inequalities with Applications" of the journal Mathematics. This Special Issue presents recent developments in the theory of fractional differential equations and inequalities. Topics include but are not limited to the existence and uniqueness results for boundary value problems for different types of fractional differential equations, a variety of fractional inequalities, impulsive fractional differential equations, and applications in sciences and engineering

Fractional Calculus - Theory and Applications

In recent years, fractional calculus has led to tremendous progress in various areas of science and mathematics. New definitions of fractional derivatives and integrals have been uncovered, extending their classical definitions in various ways. Moreover, rigorous analysis of the functional properties of these new definitions has been an active area of research in mathematical analysis. Systems considering differential equations with fractional-order operators have been investigated thoroughly from analytical and numerical points of view, and potential applications have been proposed for use in sciences and in technology. The purpose of this Special Issue is to serve as a specialized forum for the dissemination of recent progress in the theory of fractional calculus and its potential applications