Related papers: Regime Switching Optimal Growth Model with Risk Se…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
We consider a hidden Markov model with multiple observation processes, one of which is chosen at each point in time by a policy---a deterministic function of the information state---and attempt to determine which policy minimises the…
Dynamic and evolving operational and economic environments present significant challenges for decision-making. We explore a simulation optimization problem characterized by non-stationary input distributions with regime-switching dynamics…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent…
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate)…
Production systems deteriorate stochastically due to usage and may eventually break down, resulting in high maintenance costs at scheduled maintenance moments. This deterioration behavior is affected by the system's production rate. While…
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is incorporated into the entropic risk formulation by using a…
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control problems and randomised problems, enabling applications across…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
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…
With the simultaneous rise of energy costs and demand for cloud computing, efficient control of data centers becomes crucial. In the data center control problem, one needs to plan at every time step how many servers to switch on or off in…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
Breakability rate of fragile item depends on the accumulated stress of heaped stock level. So breakablility rate can be considered as dependent parameter of stock variable. The unit production cost is a function of production rate and also…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
In this paper, a stochastic SEQIR epidemic model with Markovian regime-switching is proposed and investigated. The governmental policy and implement efficiency are concerned by a generalized incidence function of the susceptible class. We…
In the regime switching extension of Black-Scholes-Merton model of asset price dynamics, one assumes that the volatility coefficient evolves as a hidden pure jump process. Under the assumption of Markov regime switching, we have considered…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…