Related papers: An Optimal Multiple Stopping Approach to Infrastru…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
We consider a physical asset consisting of complex systems, where the systems may require upgrades during the lifetime of the asset. In practice, the asset owner and system supplier can make the upgrade decisions together, requiring a…
In this paper, we study an investor's optimal entry and exit decisions in a liquid staking protocol (LSP) and an automated market maker (AMM), primarily from the standpoint of the investor. Our analysis focuses on two key investor actions:…
We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision…
In this paper, we investigate the energy system design problems with the multi-generation technologies, i.e., simultaneous generation of multiple types of energy. We propose a long-term planning model which integrates macro-level strategic…
The need to decarbonize the energy system has intensified the focus on district heating networks in urban and suburban areas. Therefore, exploring transformation pathways with reasonable trade-offs between economic viability and…
We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion. An arbitrarily early intervention may be uselessly costly,…
With information revolution, increased globalization and competition, supply chain has become longer and more complicated than ever before. These developments bring supply chain management to the forefront of the managements attention.…
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…
We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…
The wellbeing of modern societies is dependent upon the functioning of their infrastructure networks. This paper introduces the 3C concept, an integrative multi-system and multi-stakeholder optimization approach for managing infrastructure…
This paper analyzes the timing options embedded in a startup firm, and the associated market entry and exit timing decisions under the exogenous risks of early termination and competitor's entry. Our valuation approach leads to the…
We develop multi-stage linear decision rules (LDRs) for dynamic power system generation and energy storage investment planning under uncertainty and propose their chance-constrained optimization with performance guarantees. First, the…
The construction industry faces increasingly more significant pressure to reduce resource consumption, minimise waste, and enhance environmental performance. Towards the transition to a circular economy in the construction industry, one of…
This paper considers a multiple stopping time problem for a Markov chain observed in noise, where a decision maker chooses at most L stopping times to maximize a cumulative objective. We formulate the problem as a Partially Observed Markov…
A decision-maker periodically acquires information about a changing state, controlling both the timing and content of updates. I characterize optimal policies using a decomposition of the dynamic problem into optimal stopping and static…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…