Related papers: Optimal placement of a small order in a diffusive …
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
We study an online dynamic pricing problem where the potential demand at each time period $t=1,2,\ldots, T$ is stochastic and dependent on the price. However, a perishable inventory is imposed at the beginning of each time $t$, censoring…
We study a dispatching and pricing problem in two-sided spatial queues with fixed supply, motivated by ride-hailing and robotaxi platforms. Idle drivers queue on one side, waiting to pick up riders, while riders queue on the other, waiting…
This paper studies a scheduling problem in a parallel machine setting, where each machine must adhere to a predetermined fixed order for processing the jobs. Given $n$ jobs, each with processing times and deadlines, we aim to minimize the…
In this paper we consider the problem of locating $k$ obnoxious facilities (congruent disks of maximum radius) amidst $n$ demand points (existing repulsive facility sites) ordered from left to right in the plane so that none of the existing…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP)…
We consider fractional order optimal control problems in which the dynamic control system involves integer and fractional order derivatives and the terminal time is free. Necessary conditions for a state/control/terminal-time triplet to be…
We consider the problem of allocating customers to agents in small call centres so that transient performance indicators in terms of expected numbers of losses and abandonments are optimised. To gain insight into the general structure of…
We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the…
We consider the single-item single-stocking location stochastic inventory system under a fixed ordering cost component. A long-standing problem is that of determining the structure of the optimal control policy when this system is subject…
We consider the canonical periodic review lost sales inventory system with positive lead-times and stochastic i.i.d. demand under the average cost criterion. We introduce a new policy that places orders such that the expected inventory…
We explore the question of how to learn an optimal search strategy within the example of a parking problem where parking opportunities arrive according to an unknown inhomogeneous Poisson process. The optimal policy is a threshold-type…
In this article, we consider a species whose population density solves the steady diffusive logistic equation in a heterogeneous environment modeled with the help of a spatially non constant coefficient standing for a resources…
Energy storage scheduling problems, where a storage is operated to maximize its profit in response to a price signal, are essentially infinite-horizon optimization problems as storage systems operate continuously, without a foreseen end to…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
The minimum-time control problem consists in finding a control policy that will drive a given dynamic system from a given initial state to a given target state (or a set of states) as quickly as possible. This is a well-known challenging…