Related papers: Optimal Abatement Schedules for Excess Carbon Emis…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
Assessing the costs of climate change is essential to finding efficient pathways for the transition to a net-zero emissions economy, which is necessary to stabilise global temperatures at any level. In evaluating the benefits and costs of…
A classical problem in ergodic continuous time control consists of studying the limit behavior of the optimal value of a discounted cost functional with infinite horizon as the discount factor $\lambda$ tends to zero. In the literature,…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
Assessing provincial carbon budgets for residential building operations is a crucial strategy for advancing China's net-zero ambitions. This study develops an advanced assessment framework that integrates static and dynamic modeling to…
Achieving decarbonization across energy sectors requires demand-side transformation such as behavioural changes and end-use efficiency improvements to complement supply-side technological shifts. However, changing consumption patterns is…
Decarbonizing electric grids is a crucial global endeavor in the pursuit of carbon neutrality. Taking carbon emissions from generation into account when pricing electricity usage is an essential way to achieve this goal. However, such…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
This paper is devoted to developing a unified framework for stochastic growth models with environmental risk, in which rare but catastrophic shocks interact with capital accumulation and pollution. The analysis is based upon a general…
This paper examines the problem of optimizing the charging pattern of electric vehicles (EV) by taking real-time electricity grid carbon intensity into consideration. The objective of the proposed charging scheme is to minimize the carbon…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
This paper studies a model for the optimal control (by a centralized economic agent which we call the planner) of pollution diffusion over time and space. The controls are the investments in production and depollution and the goal is to…
This paper develops incentive mechanisms for promoting eco-driving with the overarching goal of minimizing emissions in transportation networks. The system operator provides drivers with energy-efficient driving guidance throughout their…
Environmental management optimizing a long-run objective is an ergodic control problem whose resolution can be achieved by solving an associated non-local Hamilton-Jacobi-Bellman (HJB) equation having an effective Hamiltonian. Focusing on…