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Register a new userStrategic Execution in the Presence of an Uninformed Arbitrageur
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We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the traders activity. The arbitrageur is uncertain about the traders position and learns from observed price fluctuations. This is a dynamic game with asymmetric information. We present an algorithm for computing perfect Bayesian equilibrium behavior and conduct numerical experiments. Our results demonstrate that the traders strategy differs significantly from one that would be optimal in the absence of the arbitrageur. In particular, the trader must balance the conflicting desires of minimizing price impact and minimizing information that is signaled through trading. Accounting for information signaling and the presence of strategic adversaries can greatly reduce execution costs.
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We study the Riemannian distance function from a fixed point (a point-wise target) of Euclidean space in the presence of a compact obstacle bounded by a smooth hypersurface. First, we show that such a function is locally semiconcave with a fractional modulus of order one half and that, near the obstacle, this regularity is optimal. Then, in the Euclidean setting, we show that the distance function is everywhere differentiable (except for the point-wise target) if and only if no obstacle is present. Finally, we prove that all the singular points of the distance function are not isolated, in the sense that each singularity belongs to a nontrivial continuum of singular points.
We derive the explicit solution to a singular stochastic control problem of the monotone follower type with an expected ergodic criterion as well as to its counterpart with a pathwise ergodic criterion. These problems have been motivated by the optimal sustainable exploitation of an ecosystem, such as a natural fishery. Under general assumptions on the diffusion coefficients and the running payoff function, we show that both performance criteria give rise to the same optimal long-term average rate as well as to the same optimal strategy, which is of a threshold type. We solve the two problems by first constructing a suitable solution to their associated Hamilton-Jacobi-Bellman (HJB) equation, which takes the form of a quasi-variational inequality with a gradient constraint.
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly controlled in both an upward and downward direction. We first derive the equivalent separated problem under full information with state-space components given by the Brownian motion and the filtering estimate of its unknown drift, and we then completely solve the latter. Our approach uses the transition amongst three different but equivalent problem formulations, links between two-dimensional bounded-variation stochastic control problems and games of optimal stopping, and probabilistic methods in combination with refined viscosity theory arguments. We show substantial regularity of (a transformed version of) the value function, we construct an optimal control rule, and we show that the free boundaries delineating (transformed) action and inaction regions are bounded globally Lipschitz continuous functions. To our knowledge this is the first time that such a problem has been solved in the literature.
This paper addresses tracking of a moving target in a multi-agent network. The target follows a linear dynamics corrupted by an adversarial noise, i.e., the noise is not generated from a statistical distribution. The location of the target at each time induces a global time-varying loss function, and the global loss is a sum of local losses, each of which is associated to one agent. Agents noisy observations could be nonlinear. We formulate this problem as a distributed online optimization where agents communicate with each other to track the minimizer of the global loss. We then propose a decentralized version of the Mirror Descent algorithm and provide the non-asymptotic analysis of the problem. Using the notion of dynamic regret, we measure the performance of our algorithm versus its offline counterpart in the centralized setting. We prove that the bound on dynamic regret scales inversely in the network spectral gap, and it represents the adversarial noise causing deviation with respect to the linear dynamics. Our result subsumes a number of results in the distributed optimization literature. Finally, in a numerical experiment, we verify that our algorithm can be simply implemented for multi-agent tracking with nonlinear observations.
Symbolic execution is a powerful technique for program analysis. However, it has many limitations in practical applicability: the path explosion problem encumbers scalability, the need for language-specific implementation, the inability to handle complex dependencies, and the limited expressiveness of theories supported by underlying satisfiability checkers. Often, relationships between variables of interest are not expressible directly as purely symbolic constraints. To this end, we present a new approach -- neuro-symbolic execution -- which learns an approximation of the relationship as a neural net. It features a constraint solver that can solve mixed constraints, involving both symbolic expressions and neural network representation. To do so, we envision such constraint solving as procedure combining SMT solving and gradient-based optimization. We demonstrate the utility of neuro-symbolic execution in constructing exploits for buffer overflows. We report success on 13/14 programs which have difficult constraints, known to require specialized extensions to symbolic execution. In addition, our technique solves $100$% of the given neuro-symbolic constraints in $73$ programs from standard verification and invariant synthesis benchmarks.
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