Related papers: Control of Dams When the Input Is a Levy Type Proc…
We consider the control of a finite dam when the input process is either spectrally positive Levy or spectrally positive Levy reflected at its infimum, using P(M,Lambda,tau) control policies. Our results extend and unify the results Bea et…
Consider a dam model, $L^{upper}$ and $L^{lower}$ are upper and, respectively, lower levels, $L = L^{upper}-L^{lower}$ is large and if the level of water is between these bounds, then the dam is said to be in a normal state. Passage across…
A large dam model is an object of study of this paper. The parameters $L^{lower}$ and $L^{upper}$ are its lower and upper levels, $L=L^{upper}-L^{lower}$ is large, and if a current level of water is between these bounds, then the dam is…
We consider the P(M,lambda,tau) maintenance policy of a dam using the total discounted and long-run average costs, when the input process is inverse Gaussian.
This paper studies large dam models where the difference between lower and upper levels, $L$, is assumed to be large. Passage across the levels leads to damage, and the damage costs of crossing the lower or upper level are proportional to…
This paper studies a discrete model of a large dam where the difference between lower and upper levels, $L$, is assumed to be large. Passage across the levels leads to damage, and the damage costs of crossing the lower or upper level are…
We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. This control incurs a running cost that reflects the resource…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…
We consider the minimization over probability measures of the expected value of a random variable, regularized by relative entropy with respect to a given probability distribution. In the general setting we provide a complete…
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy process. In particular a significant step forward is made…
The paper presents a nonlinear state-feedback control design approach for long-time average cost control, where the control effort is assumed to be expensive. The approach is based on sum-of-squares and semi-definite programming techniques.…
A random walk (or a Wiener process), possibly with drift, is observed in a noisy or delayed fashion. The problem considered in this paper is to estimate the first time \tau the random walk reaches a given level. Specifically, the p-moment…
We consider a version of de Finetti's dividend problem, with the bail-out contraint to keep the surplus non-negative, and where dividend payments can only be made at the arrival times of an independent Poisson process. For a general L\'evy…
This paper deals with the large deviations behavior of a stochastic process called thinned Levy process. This process appeared recently as a stochastic-process limit in the context of critical inhomogeneous random graphs. The process has a…
Sufficient and necessary conditions are established for controllability of affine control systems where the control is constrained to a set whose convex hull contains the origin but is not necessarily, in contrast with previously known…