Related papers: Optimal Incentive for Regulated Production
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
The problems of optimizing the value of an arbitrary observable of the two-level system at both a fixed time and the shortest possible time is theoretically explored. Complete identification and classification along with comprehensive…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
Optimizing the controls of quantum systems plays a crucial role in advancing quantum technologies. The time-varying noises in quantum systems and the widespread use of inhomogeneous quantum ensembles raise the need for high-quality quantum…
This paper introduces a model of a stylized organization that is comprised of several departments that autonomously allocate tasks. To do so, the departments either take short-sighted decisions that immediately maximize their utility or…
This study introduces an optimal mechanism in a dynamic stochastic knapsack environment. The model features a single seller who has a fixed quantity of a perfectly divisible item. Impatient buyers with a piece-wise linear utility function…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…
Despite being considered a hard-to-abate sector, aviation's emissions will play an important role in long-term climate mitigation of transportation. The introduction of low-carbon energy carriers and the deployment of new aircraft in the…
Due to the growing concerns for sustainable development, supply chains seek to invest in social sustainability issues to seize more market share in today's competitive business environment. This study aims to develop a coordination scheme…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
Temperature control in refrigerated delivery vehicles is critical for preserving product quality, yet existing approaches neglect critical operational uncertainties, such as stochastic door opening durations and heterogeneous initial…
We present a stochastic optimal control problem for a tree network. The dynamics of the network are governed by transport equations with a special emphasis on the non-linear damping function. Demand profiles at the network sinks are…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…