Trading Under the Proof-of-Stake Protocol – A Continuous-Time Control Approach

@article{Tang2022TradingUT,
  title={Trading Under the Proof-of-Stake Protocol – A Continuous-Time Control Approach},
  author={Wenpin Tang and David D. Yao},
  journal={SSRN Electronic Journal},
  year={2022}
}
. We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optimal balance between a participant’s (or agent’s) utility from holding/trading stakes and utility from consumption. We present solutions via dynamic programming and the Hamilton-Jacobi-Bellman (HJB) equations. When the utility functions are linear or convex, we derive close-form solutions and show that the bang-bang… 

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