相关论文: Optimal multi-dimensional stochastic harvesting wi…

We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…

We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem…

We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…

This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…

This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…

This paper investigates the dynamics and optimal harvesting of age-structured populations governed by McKendrick--von Foerster equations, contrasting two distinct harvesting mechanisms: rate-control and effort-control. For the rate-control…

Consider the problem of finding a population or a probability distribution amongst many with the largest mean when these means are unknown but population samples can be simulated or otherwise generated. Typically, by selecting largest…

We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…

In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…

A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or…

In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…

Motivated by real-world applications such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with…

This paper systematically investigates the optimal harvesting of a stochastic Lotka-Volterra competition model with periodic coefficients. Sufficient conditions for the extinction and persistence in the time average of each species are…

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing…

The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…

In the present paper we deal with an optimal control problem related to a model in population dynamics; more precisely, the goal is to modify the behavior of a given density of individuals via another population of agents interacting with…

This paper introduces capital flow to the single item stochastic lot sizing problem. A retailer can leverage business overdraft to deal with unexpected capital shortage, but needs to pay interest if its available balance goes below zero. A…

We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…

We study a class of binary detection problems involving a single fusion center and a large or countably infinite number of sensors. Each sensor acts under a decentralized information structure, accessing only a local noisy observation…