Related papers: Explicit Solutions for Optimal Resource Extraction…
In this paper the robust utility maximization problem for a market model based on L\'evy processes is analyzed. The interplay between the form of the utility function and the penalization function required to have a well posed problem is…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
A system of renewal equations on a graph provides a framework to describe the exploitation of a biological resource. In this context, we formulate an optimal control problem, prove the existence of an optimal control and ensure that the…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
The paper investigates stochastic resource allocation problems with scarce, reusable resources and non-preemtive, time-dependent, interconnected tasks. This approach is a natural generalization of several standard resource management…
Finding the optimal product prices and product assortment are two fundamental problems in revenue management. Usually, a seller needs to jointly determine the prices and assortment while managing a network of resources with limited…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic programming techniques and, due to the natural payoff…
We investigate the problem of allocating energy from renewable sources to flexible consumers in electricity markets. We assume there is a renewable energy supplier that provides energy according to a time-varying (and possibly…
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of maximum representation type, conditions are given to…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…
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…
In a commodity market, revenue adequate prices refer to compensations that ensure that a market participant has a non-negative profit. In this article, we study the problem of deriving revenue adequate prices for an electricity…
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for…
This paper shows that the optimal policy and value functions of a Markov Decision Process (MDP), either discounted or not, can be captured by a finite-horizon undiscounted Optimal Control Problem (OCP), even if based on an inexact model.…
This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expected return. Solutions to the associated variational…