Related papers: Optimal multi-dimensional stochastic harvesting wi…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
Following some recent works, we investigate the problem of optimising the total population size for logistic diffusive models with respect to resources distributions. Using the spatially heterogeneous Fisher-KPP equation, we obtain a…
This paper presents a general class of dynamic stochastic optimization problems we refer to as Stochastic Depletion Problems. A number of challenging dynamic optimization problems of practical interest are stochastic depletion problems.…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
We study the numerical realisation of optimal consensus control laws for agent-based models. For a nonlinear multi-agent system of Cucker-Smale type, consensus control is cast as a dynamic optimisation problem for which we derive…
In this paper, we propose a novel censoring policy for energy-efficient transmissions in energy-harvesting sensors. The problem is formulated as an infinite-horizon Markov Decision Process (MDP). The objective to be optimized is the…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
We analyze a bioeconomic model for optimal fishery harvesting in a spatially heterogeneous habitat comprising both harvestable and preservation (reserve) zones. The population dynamics are governed by a hybrid system coupling continuous…
We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy…
We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singular control framework. Investors do not like variability in…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
We consider an infinite time horizon spatially distributed optimal harvesting problem for a vegetation and soil water reaction diffusion system, with rainfall as the main external parameter. By Pontryagin's maximum principle we derive the…
We study a class of singular stochastic control problems for a one-dimensional diffusion $X$ in which the performance criterion to be optimised depends explicitly on the running infimum $I$ (or supremum $S$) of the controlled process. We…
Demand response (DR) has been demonstrated to be an effective method for reducing peak load and mitigating uncertainties on both the supply and demand sides of the electricity market. One critical question for DR research is how to…
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control…
We study an optimal-control problem of polling systems with large switchover times, when a holding cost is incurred on the queues. In particular, we consider a stochastic network with a single server that switches between several buffers…
Conventional harvesting problems for natural resources often assume physiological homogeneity of the body length/weight among individuals. However, such assumptions generally are not valid in real-world problems, where heterogeneity plays…