Trading under the proof‐of‐stake protocol – A continuous‐time control approach

DOI10.1111/mafi.12403arXiv2207.12581MaRDI QIDQ6187361

David D. W. Yao, Wenpin Tang

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.12581

zbMATH Keywords

dynamic programmingHJB equationsrisk controlcryptocurrencycontinuous-time controlconsumption-investmentproof of stake (PoS) protocol

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Financial markets (91G15) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

• Unnamed Item
• Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
• Controlled Markov processes and viscosity solutions
• High-Order Essentially Nonoscillatory Schemes for Hamilton–Jacobi Equations
• A Class of Stochastic Games and Moving Free Boundary Problems

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