Related papers: Active Product Development
We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, are evolved by a…
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments,…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
We explore how dynamic entry deterrence operates through feedback strategies in markets experiencing stochastic demand fluctuations. The incumbent firm, aware of its own cost structure, can deter a potential competitor by strategically…
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
We study a generalized geometric Brownian motion framework that incorporates both entries of new units and exit mechanisms for the current population, extending earlier stochastic resetting models where these rates are treated as identical.…
Model-based control requires an accurate model of the system dynamics for precisely and safely controlling the robot in complex and dynamic environments. Moreover, in the presence of variations in the operating conditions, the model should…
The ranking of possible alternatives during the design or operation of an industrial process leads to the definition of a solution representing the best compromise between several contradictory objectives. The choice of solution is a…
We describe a two-dimensional model for active particles whose self-propulsion speed is not fixed, but varies in time, and whose motion is subject to both translational and rotational diffusion. In the conventional treatment of active…
We study the problem of data-driven, constrained control of unknown nonlinear dynamics from a single ongoing and finite-horizon trajectory. We consider a one-step optimal control problem with a smooth, black-box objective, typically a…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Dynamic mechanism design is a challenging extension to ordinary mechanism design in which the mechanism designer must make a sequence of decisions over time in the face of possibly untruthful reports of participating agents. Optimizing…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…