Related papers: A Stochastic production planning problem

This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…

This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…

We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…

Stochastic processes offer a flexible mathematical formalism to model and reason about systems. Most analysis tools, however, start from the premises that models are fully specified, so that any parameters controlling the system's dynamics…

In this paper, on the line e.g. of [COW00]) we investigate a model with habit formation and two types of substitute goods. Such family of models, even in the case of 1 good, are difficult to study since their utility function is not concave…

We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various…

The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…

In this paper we consider the problem of finding stable maxima of expensive (to evaluate) functions. We are motivated by the optimisation of physical and industrial processes where, for some input ranges, small and unavoidable variations in…

This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…

In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…

In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…

This paper introduces capital flow to the single item stochastic lot sizing problem. A retailer can leverage business overdraft to deal with unexpected capital shortage, but needs to pay interest if its available balance goes below zero. A…

For an optimal control problem of an It\^o's type stochastic differential equation, the control process could be taken as open-loop or closed-loop forms. In the standard literature, provided appropriate regularity, the value functions under…

Stochastic choice-based discrete planning is a broad class of decision-making problems characterized by a sequential decision-making process involving a planner and a group of customers. The firm or planner first decides a subset of options…

One of the problems faced by a firm that sells certain commodities is to determine the number of products that it must supply in order to maximize its profit. In this article, the authors give an answer to this problem of economic interest.…

In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems. The computational challenge is due to the nature…

The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be…

A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic…

We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…