相关论文: Cash Management and Control Band Policies for Spec…

We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…

We propose a distributed control, in which many identical control agents are deployed for controlling a linear time-invariant plant that has multiple input-output channels. Each control agent can join or leave the control loop during the…

This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business…

In controlling systems with large operating envelopes, it is often necessary to adjust the desired dynamics according to operating conditions. This paper presents a robust adaptive control architecture for linear parameter-varying (LPV)…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…

Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerber…

We present a numerical method for generating the state-feedback control policy associated with general undiscounted, constant-setpoint, infinite-horizon, nonlinear optimal control problems with continuous state variables. The method is…

We study the exact boundary controllability of a nonlinear coupled system of two Korteweg-de Vries equations on a bounded interval. The model describes the interactions of two weakly nonlinear gravity waves in a stratified fluid. Due to the…

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…

We consider a singular control model of cash reserve management, driven by a diffusion under ambiguity. The manager is assumed to have maxmin preferences over a set of priors characterized by $\kappa$-ignorance. A verification theorem is…

A payment channel network is a blockchain-based overlay mechanism that allows parties to transact more efficiently than directly using the blockchain. These networks are composed of payment channels that carry transactions between pairs of…

We consider the general class of spectrally positive L\'evy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot…

This paper presents conditions for ensuring forward invariance of safe sets under sampled-data system dynamics with piecewise-constant controllers and fixed time-steps. First, we introduce two different metrics to compare the…

It is well known that evolutionary algorithms can benefit from dynamic choices of the key parameters that control their behavior, to adjust their search strategy to the different stages of the optimization process. A prominent example where…

Motivated by the inadequacy of the existing control strategies for power systems affected by time-varying uncontrolled power injections such as loads and the increasingly widespread renewable energy sources, this paper proposes two control…

In statistical process control, procedures are applied that require relatively strict conditions for their use. If such assumptions are violated, these methods become inefficient, leading to increased incidence of false signals. Therefore,…

We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…

The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy…

An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…

In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted L\'evy process and the ruin time is considered with Parisian delay. Presence of the transaction costs…