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Optimal Execution with Identity Optionality
We then formulate the limiting mean-field game of controls with common noise and obtain a solution in closed-form via the probabilistic approach for the Almgren-Chris price impact framework.
Optimal Execution with Quadratic Variation Inventories
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders.
Mean Field Models to Regulate Carbon Emissions in Electricity Production
The most serious threat to ecosystems is the global climate change fueled by the uncontrolled increase in carbon emissions.
Optimization and Control 49N80, 91A16, 91B76, 49N90, 91A07
Applications of Mean Field Games in Financial Engineering and Economic Theory
This is an expanded version of the lecture given at the AMS Short Course on Mean Field Games, on January 13, 2020 in Denver CO.
