Related papers: Sustainability in the Stochastic Ramsey Model
Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…
In this paper we study a rational inattention model in environments where the decision maker faces uncertainty about the true prior distribution over states. The decision maker seeks to select a stochastic choice rule over a finite set of…
In this technical note, we study the mean square stability-based analysis of stochastic continuous-time linear networked systems. The stochastic uncertainty is assumed to enter multiplicatively in system dynamics through input and output…
Optimally combining frequency control with self-consumption can increase revenues from battery storage systems installed behind-the-meter. This work presents an optimized control strategy that allows a battery to be used simultaneously for…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal…
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…
A simplified model for the growth of a population is studied in which random effects arise because reproducing individuals have a certain probability of surviving until the next breeding season and hence contributing to the next generation.…
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…
The Rasch model has been widely used to analyse item response data in psychometrics and educational assessments. When the number of individuals and items are large, it may be impractical to provide all possible responses. It is desirable to…
In this paper, we introduce and study different dissipativity notions and different turnpike properties for discrete-time stochastic nonlinear optimal control problems. The proposed stochastic dissipativity notions extend the classic notion…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
The Ramsey model, first introduced by F. Ramsey in 1928, has become a cornerstone in the economic growth theory. Combined with the Solow model in the 1950s by the economists Cass (1965) and Koopmans (1965), it is still one of the most used…
Supply chain disruptions and volatile demand pose significant challenges to the UK automotive industry, which relies heavily on Just-In-Time (JIT) manufacturing. While qualitative studies highlight the potential of integrating Artificial…
Many management decisions involve accumulated random realizations for which only the first and second moments of their distribution are available. The sharp Chebyshev-type bound for the tail probability and Scarf bound for the expected loss…
We study and develop the stochastic Markov reward model (sMRM), which extends the Markov chain where transition time/reward as modelled as random variables. Techniques are presented to enable computing first-passage time distributions (or…
The use of non parametric hidden Markov models with finite state space is flourishing in practice while few theoretical guarantees are known in this framework. Here, we study asymptotic guarantees for these models in the Bayesian framework.…
This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…