Related papers: On Optimal Harvesting Problems in Random Environme…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
We consider an ergodic harvesting problem with model ambiguity that arises from biology. To account for the ambiguity, the problem is constructed as a stochastic game with two players: the decision-maker (DM) chooses the `best' harvesting…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
This work deals with the solution of a non-convex optimization problem to enhance the performance of an energy harvesting device, which involves a nonlinear objective function and a discontinuous constraint. This optimization problem, which…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
We consider the optimal packet scheduling problem in a single-user energy harvesting wireless communication system. In this system, both the data packets and the harvested energy are modeled to arrive at the source node randomly. Our goal…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
We analyze an optimal control problem governed by a rate-independent system in an abstract infinite-dimensional setting. The rate-independent system is characterized by a nonconvex stored energy functional, which depends on time via a…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
The abundance of a species' population in an ecosystem is rarely stationary, often exhibiting large fluctuations over time. Using historical data on marine species, we show that the year-to-year fluctuations of population growth rate obey a…
The problem of natural selection in dispersal-structured populations consisting of individuals characterized by different diffusion coefficients is studied. The competition between the organisms is taken into account through the assumption…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
Ambient energy harvesting is touted as a low cost solution to prolong the life of low-powered devices, reduce the carbon footprint, and make the system self-sustainable. Most research to date have focused either on the physical aspects of…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
We study the biodiversity problem for resource competition systems with extinctions and self-limitation effects. Our main result establishes estimates of biodiversity in terms of the fundamental parameters of the model. We also prove the…
The dynamics of two competing species in a finite size community is one of the most studied problems in population genetics and community ecology. Stochastic fluctuations lead, inevitably, to the extinction of one of the species, but the…