Related papers: Optimal distributed dynamic advertising
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…
We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and Arrow. In particular, we allow the dynamics of the product…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
This paper studies the problem of steering the distribution of a discrete-time dynamical system from an initial distribution to a target distribution in finite time. The formulation is fully nonlinear, allowing the use of general control…
We study how to optimally segment monopolistic markets with a redistributive objective. We characterize optimal redistributive segmentations and show that they (i) induce the seller to price progressively, i.e., charge richer consumers…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
We want to find the optimal strategy for displaying advertisements e.g. banners, videos, in given locations at given times under some realistic dynamic constraints. Our primary goal is to maximize the expected revenue in a given period of…
We consider a class of optimal control problems that arise in connection with optimal advertising under uncertainty. Two main features appear in the model: a delay in the control variable driving the state dynamics; a mean-field term both…
We consider deterministic infinite horizon optimal control problems with nonnegative stage costs. We draw inspiration from learning model predictive control scheme designed for continuous dynamics and iterative tasks, and propose a rollout…
In this article, we study the optimization of resource distributions in a one-dimensional logistic diffusive model. The goal is to determine a distribution on a bounded one-dimensional domain that maximizes the total population at…