相关论文: Optimum Production for a heaped stock dependent br…

In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

In manufacturing systems, setup time and production time play important parts which are reduced through human learning effect. Furthermore, defective products of the manufacturing lines are classified as imperfect (repairable) and scraps…

We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…

We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…

We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…

In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…

We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed…

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…

In many mechatronic applications, controller input costs are negligible and time optimality is of great importance to maximize the productivity by executing fast positioning maneuvers. As a result, the obtained control input has mostly a…

A time-dependent global fiber-bundle model of fracture with continuous damage is formulated in terms of a set of coupled non-linear differential equations. A first integral of this set is analytically obtained. The time evolution of the…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

We consider a scenario where a system experiences a disruption, and the states (representing health values) of its components continue to reduce over time, unless they are acted upon by a controller. Given this dynamical setting, we…

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…

We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…

This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…

In this paper we investigate the parameter estimation of the fiber lay-down process in the production of nonwovens. The parameter estimation is based on the mass per unit area data, which is available at least on an industrial scale. We…

Many biological functions require the dynamics to be necessarily driven out-of-equilibrium. In contrast, in various contexts, a nonequilibrium dynamics at fast timescales can be described by an effective equilibrium dynamics at a slower…