HE Yinjie, GUO Jian, ZHAO Yanlong
Journal of Systems Science & Complexity.
Accepted: 2026-05-20
In markets subject to institutional or compliance constraints, optimal execution under monotone constraints, which requires that the inventory trajectory must remain continuously monotone over the trading horizon, constitutes an important problem, directly affecting trading efficiency and market stability. A representative example arises from China’s T+1 trading rule, which prohibits investors from selling stocks purchased on the same day. Under a signature-based framework, enforcing such time-continuous monotonicity leads to a nontrivial structural difficulty: pathwise feasibility must hold for all times, which induces a stochastic semi-infinite constraint. To address this difficulty, we propose a two-step approach: First, we robustify the pathwise stochastic constraints over time, yielding a deterministic semi-infinite program. Second, by exploiting the temporal structure of the uncertainty sets and the prefix structure of signatures, we derive an exact finite-dimensional reformulation of the resulting deterministic semi-infinite problem. We establish the consistency of the solution in the proposed framework, obtained from sample-based approximation of both the objective function and the feasible set, thus providing theoretical performance guarantees. Experiments on real market data show that the proposed framework strictly maintains pathwise monotone feasibility while achieving improved execution performance relative to standard benchmarks.