Related papers: Active Product Development
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
The non-thermal nature of self-propelling colloids offers new insights into non-equilibrium physics. The central mathematical model to describe their trajectories is active Brownian motion, where a particle moves with a constant speed,…
Trajectory optimization of sensing robots to actively gather information of targets has received much attention in the past. It is well-known that under the assumption of linear Gaussian target dynamics and sensor models the stochastic…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
In systems possessing spatial or dynamical symmetry breaking, Brownian motion combined with symmetric external input signals, deterministic or random, alike, can assist directed motion of particles at the submicron scales. In such cases,…
In this paper we present a dynamical system to generate Brownian motion based on the Langevin equation without stochastic term and using fractional derivatives, i.e., a deterministic Brownian motion model is proposed. The stochastic process…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
We propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading…
Model predictive control is a control approach that minimizes a stage cost over a predicted system trajectory based on a model of the system and is capable of handling state and input constraints. For uncertain models, robust or adaptive…
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…
This article analyzes the behavior of a Brownian fluctuation process under a mixed strategic game setup. A variant of a compound Brownian motion has been newly proposed, which is called the Shifted Brownian Fluctuation Process to predict…
This paper investigates complex product-innovation processes using models grounded in a set of heuristics. Each heuristic is expressed through simple trends -- increasing, decreasing, or constant -- which serve as minimally…
Brownian particles interacting sequentially with distinct temperatures and driving forces at each stroke have been tackled as a reliable alternative for the construction of engine setups. However they can behave very inefficiently depending…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
The mechanical process of progressively debonding an adhesive membrane from a substrate is described as a quasistatic variational evolution of sets and herein investigated. Existence of energetic solutions, based on global minimisers of a…
In this paper, we present a simple microeconomic model with linear continuous-time dynamics that describes a production-inventory system with debt repayment. This model is formulated in terms of optimal control and its exact solutions are…
We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related…
We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the prices of the securities are governed by geometric Brownian…