Related papers: Explicit Solutions for Optimal Resource Extraction…
The energetic flexibility of electric energy resources can be exploited when trading on wholesale energy and ancillary service markets. This paper considers the problem of a Balance Responsible Party to maximize its profit from trading on…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that…
We formulate an economic optimal control problem for transport of natural gas over a large-scale transmission pipeline network under transient flow conditions. The objective is to maximize economic welfare for users of the pipeline system,…
This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…
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…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
In this work, we propose distributed and networked energy management scenarios to optimize the production and reservation of energy among a set of distributed energy nodes. In other words, the idea is to optimally allocate the generated and…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We introduce the Lyapunov approach to optimal control problems of average risk-sensitive Markov control processes with general risk maps. Motivated by applications in particular to behavioral economics, we consider possibly non-convex risk…
In this paper we propose a general derivative pricing framework which employs decoupled time-changed (DTC) L\'evy processes to model the underlying asset of contingent claims. A DTC L\'evy process is a generalized time-changed L\'evy…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
This paper proposes a new formulation for the dynamic resource allocation problem, which converts the traditional MDP model with known parameters and no capacity constraints to a new model with uncertain parameters and a resource capacity…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…