Related papers: Fiscal stimulus as an optimal control problem
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
We consider the optimal control of a differential equation that involves the suprema of the state over some part of the history. In many applications, this non-smooth functional dependence is crucial for the successful modeling of…
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…
In this paper an optimal control problem for a large system of interacting agents is considered using a kinetic perspective. As a prototype model we analyze a microscopic model of opinion formation under constraints. For this problem a…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the…
There has been a growing interest in multi-agent simulators in the domain of economic modeling. However, contemporary research often involves developing reinforcement learning (RL) based models that focus solely on a single type of agents,…
A standard approach to optimizing long-run running costs of discrete systems is based on minimizing the mean-payoff, i.e., the long-run average amount of resources ("energy") consumed per transition. However, this approach inherently…
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led…
We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…
There is, among the economist ecosystem, the idea of virtuous public spending as a form of promotion of economic growth. If we think on the way GDP is measured, it is not possible to get that conclusion because it becomes circular:…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
We study optimal taxation when citizens are not fully confident that the government will transform tax revenue into useful public goods. In an otherwise standard Ramsey framework, a representative agent values a public good financed by…
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
During the COVID-19 pandemic of 2019/2020, authorities have used temporary ad-hoc policy measures, such as lockdowns and mass quarantines, to slow its transmission. However, the consequences of widespread use of these unprecedented measures…
We study the regulation of a monopolistic firm using a robust-design approach. We solve for the policy that minimizes the regulator's worst-case regret, where the regret is the difference between his complete-information payoff minus his…
Recently the influence maximization problem has received much attention for its applications on viral marketing and product promotions. However, such influence maximization problems have not taken into account the monetary effect on the…
We focus on optimal control problems governed by elliptic, quasilinear PDEs. Though there are various examples of such problems in the literature, we make an attempt at describing some general principles by dealing with three basic…