Related papers: Active Product Development
Optimal designs are usually model-dependent and likely to be sub-optimal if the postulated model is not correctly specified. In practice, it is common that a researcher has a list of candidate models at hand and a design has to be found…
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a…
We consider a model of Brownian motion on a bounded open interval with instantaneous jumps. The jumps occur at a spatially dependent rate given by a positive parameter times a continuous function positive on the interval and vanishing on…
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and explore a feature of "learning-by-doing", where the learning…
This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production. Assuming that the output of production is proportional to…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
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…
Developing behavioral policies designed to efficiently solve target-search problems is a crucial issue both in nature and in the nanotechnology of the 21st century. Here, we characterize the target-search strategies of simple microswimmers…
This paper considers the problem of designing a continuous-time dynamical system that solves a constrained nonlinear optimization problem and makes the feasible set forward invariant and asymptotically stable. The invariance of the feasible…
The value of a continuous character evolving on a phylogenetic tree is commonly modelled as the location of a particle moving under one-dimensional Brownian motion with constant rate. The Brownian motion model is best suited to characters…
We consider active Brownian particles that intermittently switch between active and inactive states. Such behavior is ubiquitous at all scales, from bacteria to animals and in artificial active systems. We derive exact expressions for key…
A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in these circumstances requires to solve a complex estimation…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
We consider a simple variant of the von Neumann model of an expanding economy, in which multiple producers make goods according to their production function. The players trade their goods at the market and then use the bundles acquired for…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
In this paper, a robust optimal reinsurance-investment problem with delay is studied under the $\alpha$-maxmin mean-variance criterion. The surplus process of an insurance company approximates Brownian motion with drift. The financial…
Non-profit organizations that provide food, shelter, and other services to people in need, rely on volunteers to deliver their services. Unlike paid labor, non-profit organizations have less control over unpaid volunteers' schedules,…
Model-based reinforcement learning has the potential to be more sample efficient than model-free approaches. However, existing model-based methods are vulnerable to model bias, which leads to poor generalization and asymptotic performance…