Related papers: Optimality of refraction strategies for a constrai…

We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…

In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…

We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…

This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…

We disucss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a L\'{e}vy insurance risk process. The optimal dividend barrier is defined as the level of the barrier that maximizes the…

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We…

There are many important practical optimization problems whose feasible regions are not known to be nonempty or not, and optimizers of the objective function with the least constraint violation prefer to be found. A natural way for dealing…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic…

The continuous nonlinear resource allocation problem (CONRAP) has broad applications in economics, engineering, production and inventory management, and often serves as a subproblem in complex programming. Without relying on monotonicity…

The recent papers Gajek-Kucinsky(2017) and Avram-Goreac-Li-Wu(2020) investigated the control problem of optimizing dividends when limiting capital injections stopped upon bankruptcy. The first paper works under the spectrally negative…

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…

We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and the discount rate can be positive or negative. The…

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its…

We consider a bilinear optimal control for an evolution equation involving the fractional Laplace operator of order $0<s<1$. We first give some existence and uniqueness results for the considered evolution equation. Next, we establish some…

In this paper we propose distributed dual gradient algorithms for linearly constrained separable convex problems and analyze their rate of convergence under different assumptions. Under the strong convexity assumption on the primal…

This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality…