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In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. PPI strategies enable investors to mitigate downside risk…
This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…
We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…
Ride-sourcing platforms such as Uber and Lyft are prime examples of the gig economy, recruiting drivers as independent contractors, thereby avoiding legal and fiscal obligations. Although platforms offer flexibility in choosing work shifts…
We consider the problem of learning control policies that optimize a reward function while satisfying constraints due to considerations of safety, fairness, or other costs. We propose a new algorithm, Projection-Based Constrained Policy…
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism. The social planner's preference criterion is represented by…
This paper presents an optimization approach based on the mixed-integer programming (MIP) to maximize the profit of the Microgrid (MG) while minimizing the risk in profit (RIP) in the presence of demand response program (DRP). RIP is…
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter to be a mixed random variable, we capture the heterogeneity…
This paper proposes a prescribed performance function aware hybrid gain finite time sliding mode control framework for a class of nonlinear systems subject to matched disturbances. The hybrid gain structure ensures bounded control effort…
We study the problem of designing posted-price mechanisms in order to sell a single unit of a single item within a finite period of time. Motivated by real-world problems, such as, e.g., long-term rental of rooms and apartments, we assume…
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…
We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…
We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is…
In various markets where sellers compete in price, price oscillations are observed rather than convergence to equilibrium. Such fluctuations have been empirically observed in the retail market for gasoline, in airline pricing and in the…
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…
This article puts forward a methodology for procuring flexible ramping products (FRPs) in the day-ahead market (DAM). The proposed methodology comprises two market passes, the first of which employs a stochastic unit commitment (SUC) model…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…